I believe I have followed all the steps, but I don' t find the airplay icon in the frequently used apps. I have gone to videos and used airplay but it is not in my frequently used apps. What am I doing wrong?
Not all apps support airplay, especially video ones. The app developer has to make it support airplay and some don't as they don't want you to watch other than on your device. Apple has no control over this, it is the app developer's call.