Did you follow these steps first:
Open the furnace. Take the stone jug inside.
In inventory, place the copper coins and calamine (zinc oxide) in the stone jug.
Place the filled stone jug inside the furnace.
Attach the leather hose to the bellows' hole and the other end to the forge right of furnace.
See how your cursor appears after clicking the leather hose on the bellows' hole, and if the hose is now attached to it, to click on the forge. Or if you have to go into inventory to pick up the other end of the hose to attach to the forge. I can't recall exactly the procedure -- I recall, same as you, that it was a little fiddly.