Server 2008 Auditing not working

I have been trying to get file deletion auditing working on one of our 2008 SP2 servers (64bit).

I followed the MS articles (and whatever I could Google on it, all basically the same). Set up auditing through the Properties > Security > Advanced > Auditing ... for Successful / Failure of deleting on a particular directory.

All files in the directory reflect the new auditing setup, but whenever a file is deleted nothing shows up in the Security logs.

EDIT: I set the User to Everyone, as well as specifying my own user name for testing purposes.