You are right it does not lock into anything and therein lies the problem.
One must: get the action arms in their slots, while engaging the bolt body lugs into their slots (remember to unlock the bolt face), While the dust cover just kind of sits there in its recess. There are "ears" either on the action arms or the bolt itself, i forget which, one towards the front (which shoves the dust cover back) and one toward the rear (which shoves it forward into place again). They are seperated by more space than the dust cover is long (so the cover is closed while the bolt is unlocking), so they don't grip it and if it slides out of the little track it has (on the inside of the reciever) you're screwed and must start again.
Look good and hard at the pieces. Slide only the dust cover back and forth inside the reciever body and grock its motion. Then do the same for the bolt assy with or without the action arms. It also must stay within its groove (and lock and unlock). You will notice that the firing pin becomes the ejector within the last 1/8 inch of rearward travel. And of course if it falls out that's wrong :-)
It took me a while to do and i have lots of experience with machines and things. Just go slow and understand how EACH part works and when.
If you need more help tell me i'll help anyway i can. Maybe we should move off the list though, PM me if you need to.
Good Luck
Edited to say: the "ears" are really a lug and it impinges on the underside of the cover, the cover itself is longer and has ears on its inside face. Oops, that's what i get for typing at work.