EDIT: After reading your post again, maybe there's something else going since you mention the a circle with a slash through it, as if a gradient can't be applied to the shape you drew.
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Just for comparison, I have CS5 on hand at the moment to test.
I'll create a square with a solid color. If I go to the gradient panel, the type of gradient appears blank (since you mention choosing linear). I'll click the blank type and choose linear from the pop-up menu. A gradient is then instantly applied to the square, often the most recent used. This is all without having the gradient tool selected.
Is this that where you selected the linear option?
From my understanding, you can slash all you want, but it won't do anything unless the gradient has already been applied. Adding a gradient fill can be done several ways, such as mentioned above or by clicking just about anything else in the gradient panel, select a gradient from the swatches, or my favorite, simply hitting the period key. Also note: slash clears the fill and comma adds a solid color.
Hope this helps for now.
