Disable alt-enter in a Direct3D (DirectX) application

I'm reading Introduction to 3D Game Programming with DirectX 10 to learn some DirectX, and I was trying to do the proposed exercises (chapter 4 for the ones who have the book).

One exercise asks to disable the Alt+Enter functionality (toggle full screen mode) using IDXGIFactory::MakeWindowAssociation.

However it toggles full screen mode anyway, and I can't understand why. This is my code:

HR(D3D10CreateDevice(
        0,                 //default adapter
        md3dDriverType,
        0,                 // no software device
        createDeviceFlags, 
        D3D10_SDK_VERSION,
        &md3dDevice) );

IDXGIFactory *factory;
HR(CreateDXGIFactory(__uuidof(IDXGIFactory), (void **)&factory));
HR(factory->CreateSwapChain(md3dDevice, &sd, &mSwapChain));
factory->MakeWindowAssociation(mhMainWnd, DXGI_MWA_NO_ALT_ENTER);
ReleaseCOM(factory);