How do you enter buildings in the Emulated NES Nightmare on Elm Street?

I've been playing emulated versions of lots of NES games (i love em!) and I got to Nightmare on Elm Street, and I can't figure out how to enter buildings! That kinda gets you stuck. Anyone know how? On the guide for the real game, it says press up on the control pad, but the up arrow won't let me go in. Thanks!