Unfortunately, doing what the lock screen says (in this case at least) doesn't unlock the screen, unless you have a Nexus device or just have TalkBack on and not Explore by Touch.
To unlock the screen with all other any Android device, other than a Nexus device, (GS3, Note 2, HTC One, etc.), you will need to swipe "two" fingers across the screen (without any tapping) and the screen will unlock.
NOTE: Your fingers must be just a little apart for this to work. If they are touching (no space between), or to close together, it might not work.