Here is the answer.  1. make sure that you have allow anonymous comments checked in the Blog setting - I did and that was not the root of my problem, but you do need to have this checked for this work.

My problem was that we actually had two blogs set-up.  One was set-up by the host account and the second was set-up by a named second account.  When the named second account went in they accidently created the second Blog and posted their first Blog entry.  I had the blog settings set-up for Bolg 1 and the posting was on Blog 2.  Blog 2's settings said allow anonymous comments (but Blog 1's settings did not).  O.k. laugh and call us stupid.

The Blog appears to be set-up by user id.  so if you install and do the settings set-up using the host id, but you then log in as a different account (so the blog entry will appear in a name other than host, you get prompted with create a Blog - they don't see the blog that was set-up by the id host. If they do create a new blog - they have just created a second Blog with separate controls.  You log in as host to help, you change settings and they don't appear to work.  This problem was hard for us to find becasue both blogs were named the same so it was not obvious to us - we are new to the blog module. 

Summary = set-up the blog using the account name you intend to post under!