Sometimes objects in game are a bit tough to target, if you right-click on the furnace (assuming you have a right mouse button) you can tell if you've selected successfully or not by whether or not a reddish, moving, circle thing appears beneath the object. Unless the server was crashing or something when you went to select the furnace, I can't thing of anything that would actually make the furnace un-selectable.
Once you do right-click successfully, then just left-click on the "eye-con" and it will open up a window with empty slots for the iron ore... drag, drop, wait, and *poof* you've made dust.
