Christina,
You first explained that your camera wasn't putting out three shots at different exposures, which led me to think you were saying that it was producing three shots but not all at different exposures. You're now saying that the camera definitely didn't produce three exposures.
True... My apologies for the confusion.
You either used single shot mode but didn't release the shutter three times...
It is definitely the case that...
I used single shot mode but didn't release the shutter 3 times. For some reason, I thought that my camera would do this automatically, and this is what led to everything else. (I did press the ok button)
I just tried single shot mode, with the bracketing function set. I pressed the shutter 3 times and it worked perfectly.
Perhaps the most important suggestion we could make is that you always leave your essential photo gear such as your ND filters inside or attached to your bag so you never have to worry about accidentally forgetting them.
Indeed! Will do. Much easier than bracketing and combining exposures.