I am trying to create new keyframes but can't. When I set my first keyframe, the stopwatch stays blue... even when I move to a different part of the timeline. Has anyone experienced this issue and know how to resolve it>
The stopwatch indicator is supposed to stay blue, even once you've moved away from it. The stopwatch icon is NOT a keyframe control itself; it just indicates that a property varies over time. When it is blue (on), that means that changing the property value will change the value at the current time only, creating/modifying keyframes. When it is white (off), that means that changing the property will change the value for all time in that layer.
To actually create a keyframe at a given location, the stopwatch must be on (property varies over time), and you must either alter the value of the property, or use the keyframe navigator to add a keyframe.
The keyframe navigator in the timeline panel is completely separate from the stopwatch. Right-click any of the timeline panel column headers, then mouse over Columns in the pop-up menu, then make sure either "A/V Features" or "Keys" is checked.