Important note:
When you bind the receiver to the transmitter, this sets the failsafe positions. E.g. When you bind, the receiver remembers the stick positions at that point in time. This is the only way you can set the failsafe.

As matt says, the bind procedure is as follows:
1. Plug bind plug into receiver BAT connector.
2. Turn receiver on (best to do this with only a receiver battery connected).
3. Press and hold bind button on rear of transmitter.
4. Turn transmitter on and keep holding button until receiver light goes solid.
5. Remove bind plug on receiver.
6. Turn transmitter of and double check failsafes work correctly.