Ok. So this is pretty stupid. Even though the sketch CLEARLY said pin 3, I downloaded another library and I was about to upload the example sketch for that one, and it said to use pin 3 for uno and pin 9 for mega. So I went ahead and plugged in to pin 9 and the LED started flashing from my original sketch. What a waste of a few hours. Thank you for not telling me I'm crazy. I appreciate your help everyone.