If you are using the plan manager built into the web interface of the software, you can simply make sure your plan is checked out to you, then right-click anywhere inside the plan layout. You'll get a menu with options and the bottom two options deal with Update/Remove Baseline for the plan. Keep in mind, you *must* be the Manager or Alternate Manager of the plan in order to set a baseline.
I think William was just saying to make sure your End date for the plan is accurate the way you want it to be at the point in time you set the Baseline.
Let me know if you have any other questions about the instructions provided. The other instructions I provided for the Windows Plan Manager application are still valid.