Hi Sassie and welcome to the forum.
As has been said, the process you described using CS4 is exactly the same in CS6.
I don't know about your selection disappearing. Can't explain that one at the moment.
If you get a message "no pixels are selected", then your doing something else. You can make a selection with any of the tools capable of making a selection on a completely blank new layer/document and still use refine edge to alter the selection. You will not get the message.
If the selection has decreased after you use refine edge, that's normal........ignore it.
If the selection is no longer where you originally placed it, other than it's being resized after refine edge, then you accidentally moved it somehow.
Here's a tutorial.
1. Start Photoshop.
2. Click FILE > NEW (make sure transparent is selected under background contents) then hit OK.
3. Hit D on your keyboard to reset your fore and background color to default, which is black and white.
3. Choose any of the selection tools. How about The Elliptical Marquee Tool.
4. Create an ellipse of any size or location.
5. Hit Refine edge... located in your tool options bar located at the top.
6. Using the slider, set the feather to about 50 px. Click OK.
7. Hit alt/option + delete to fill with foreground color.
8. Hit command/control + D to deselect.
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If this did not work for you, reset your preferences.
