How to follow the instruction to diagnose Mac? I am trying to diagnose my Mac Book Air, 10.12.5 follow link as below:

https://support.apple.com/en-us/HT202731

Regarding instruction(see on bottom), I need to hold D key.  I was trying to hold caps d or shift d and press them about 3 minutes ... but there is no a screen asking but regular desktop. 

How to proceed?

thanks.

"Turn on your Mac, then immediately press and hold the D key on your keyboard. Keep holding until you see a screen asking ..."
Its not a capital D, they would have specified "Shift-D" if in that case. Just hold d itself.

If it doesn't work, see the Learn More section at the bottom of that article.