Please help! I cannot get the "swash" by typing the underline and a number. What am I doing wrong? I just get a box with a star over it.

You need a program that is OT feature aware for that to work.

If your program cannot access OT features, as it appears to be, you can still use the swashes by manually selecting it using the glyph palette of your program and insert it to your document. If your program also does not have a glyph palette, you can use CharMap that comes with Windows. There is probably a similar program on Macs.

BTW the swashes are located in the Private Use Area (PUA) of the font.