You have to follow the instructions VERY CAREFULLY!!
Anything you mouseover or select while the option is turned on will get the option, including the enemy. Turn the option on, mouseover or select the units you want and then immediately turn the option off.
as he says, you got to make sure you turn it off once your units are Immortal.
I basically taget all i want in invulnerable, then press F6 and then F and then F6 again to turn off the pointer and those units will be gods for that mission and will not die.