Help with Rally Point civ4

I'm new to civ4, and I'm having trouble setting a global rally point,
you know, like was so easy in civ3.
I looked at a keyboard & mouse shortcut help file I found on civ
fanatics. It says to 'shift-right-click on any city bars'. So I do; I go
to a city and shift-r-click...and nothing. I select the city first then
shift-r-click, and a yellow circle appears in one of the adjacent
squares. So I click on that, but none of the units produced next turn
have any orders.

So...how do you set a global rally point?

> I'm new to civ4, and I'm having trouble setting a global rally
> point, you know, like was so easy in civ3.

Global? For *all* cities?

If you mean to set it for one city, do this:
1. click on the city name bar (on the map, at the bottom of the city
square). It gets a bit of white glow.
2. shift-right-click the rally square. It gets a yellow circle.
3. hit ENTER to end the process

There is a way to select all cities, but I've never tried that.