Before starting the measurement, you also need to change the no. of meas. cycles from 16 to 1 as shown in the figure below, the other measurement settings must remain the same.
After doing this you should save the setup from Setup->Store....
Play the signal from the external source. You should now hear a sweep signal.
If the measurement is of single sweeps it is important that you start the measurement (Measurement->Start) just before the sweep reaches the microphone. Start the measurement when there is silence (do not start a measurement in the middle of the sweep). If this is not done correctly, you may miss a part of the upper or lower frequency range.