According to the Extended Manual you have to have the camera in Manual Focus mode for this to work.
I would assume that you also have to be in one of the Manual modes (not Auto).
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I have a Olympus e330 and my manual shows how to set mf bracketing, but when I go to menu,camera 2, scroll down to bracketing features, only wb, ae, fl, bracketing are lit up, the mf feature isn't even though manual shows I should be able to shoot 5 and 7 frames in this mode, can anyone help. thnx.

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