The button to connect a printer via Wi-Fi Protected Setup is found on the wireless router that controls the network in the home, not the printer itself. Not all routers have this button or support this connection option.
After starting the WPS mode for the printer, the WPS button on the router needs to be pressed. Most WPS wireless routers will not connect with this method if using the default network name or if security hasn't been set up.
If the router does not have a WPS button, alternative installation instructions should be found in the printer's manual.