The Garmin Legend CX comes with "geocaching software." If you go to Find -> Geocache, and the unit is asking if you want to setup the software, that either means you are using the geocaching software for the first time...OR you have no geocaches loaded in the unit. The GPSr recognizes these by the little treasure box icon. Once you find a geocache, that icon will turn to an open treasure box when you press "found" on the compass page.
It sounds like you loaded just one geocache into the unit, and then couldn't find it after you marked it as found. That would be because the icon had changed.
Try this. Load several geocaches into the unit from a pocket query or a database if you have one. Now when you are out in the field, you will see how that software works. Once you find a geocache, mark it as found on the compass page. The software will then ask if you want to find another geocache, and it will automatically suggest the nearest one. Granted, you might rather go to Find -> Geocache to select your next one, rather than scamper back and forth, but it is a handy feature.
At some point during your day, you may want to check the number of caches you have found. Go to Find -> Geocache. Now, press the lowest left-hand button on the side of the unit. This is your menu option. It will give you some choices including "Show Found Geocaches." Highlight that, press the click stick to enter, and then you will see the ones you've found. To show non-found caches, go to Find -> Geocaches, press the large lowest left-hand button again and select "Show geocaches not found." This essentially reverses what the unit is looking for.
Be aware that Garmin, as with many software companies, has different staff writing the software and the manuals, so there are "gaps" in the knowledge base.
Cache on!
I've found two. I go to waypoints, pick the one I want to find. When I found them I selected found. Thye show up on the calendar but not the GEOCACHE icon. Do I need to plug the unit intio a PC and configure it somehow?