Sure it does; you likely aren't doing it properly. After powering on (or resetting), immediately (I mean immediately; don't wait for BIOS to display anything) begin hitting the F2 key rapidly over and over and over (i.e. don't just press and hold the F2 key; this doesn't work).
If you want to force it into BIOS Setup, you can do so by (with system powered off) moving the BIOS configuration jumper from the 1-2 pins to the 2-3 pins. This will cause the system to come up in Maintenance Mode.
Hope this helps,