How to Turn a Sketch into an Extrusion?

Been going through the intro tutorials, yet I'm running into this problem when I'm trying to turn a circle I've sketched into an extrusion.

Sometimes when I hit "exit sketch" the property manager pops up:  Allowing me to change my sketches' depth.

Other times nothing pops up, with zero hints as to how I can reselect the object to extrude it.

Help!

SolidworksGeneral