Custom Setting / e5 Auto Bracketing Set is not available when your shooting in Auto, NoFlash and Scene modes. Change to P, S, A, M, or one of the User modes.
Thanks guys. I was shooting in Auto. I switched to "P" and there it was. The lens is Nikon 18-200 DX, VRII. I will get the 35 or 50 1.8 soon.
This is an intimidating camera for my first digital and a long layoff from photography even remotely serious. And, when over 70 I am a little slower picking things up due to crappy short term memory.