I assume you are using the "PRE" feature to set the WB?
What exposure mode are you using?
If you are using Manual exposure mode did you adjust the shutter speed, aperture, and ISO to get a correct exposure of your gray card? It the exposure is not correct, the camera won't be able to measure the WB. Setting the exposure mode to Program for the calibration shot will usually solve the problem.
Once you set the "PRE" in the camera are you pressing the WB button again and waiting for "PRE" to flash in the Top LCD before you release the shutter?