Many White-Westinghouse manuals can be found here:
I had the same problem and was able to solve it. They didn't have the exact manual for mine (a KF450G), but they had one that was similar enough (KF580H) to solve this issue. Setting the knobs to clean is only part of the process, to get it to run you need to set the timer.
Read the key information below transcribed from the manual:
To set the controls for the cleaning cycle:
1) Close the oven door.
2) Be sure the clock shows the correct time of day.
3) Be sure the Start Time knob is set for the same time as the clock. If not, turn the knob to the time on the clock. The knob will then pop out.
4) Push in and set the Stop Time knob for 2 to 3 hours past the Start Time.
Example: If the Start Time and Clock read 1:00, set the Stop Time for 3:00 or 4:00.
5) Turn the Temperature Control to CLEAN.
6) Turn the Selector to CLEAN.
If all controls are set correctly, the oven signal light will come on and stay on until the oven reaches its cleaning temperature. It will then cycle on and off.
There is more information in the manual, but it's much too much information to manually transcribe - I've only typed enough for you to get it working. Note that the LOCKED light won't light initially, it only lights once the oven exceeds 550 degrees. Once that light is on, the oven will not reopen until the temperature drops below that point, even if you stop the clean cycle.
Be sure to empty out the storage drawer under the oven before cleaning.