Well I've done EXACTLY that, and nothing is happening. I left click on my companion with the console open, and nothing happens. Right clicking allows my character to move and activate (spacebar) everything in game, but otherwise disables the console for use until I right click again.
Hopefully I'm just being a noob, and really I'll be the first to admit I am one, having just entered the Morrowind modding scene in the past month or so.
Also, the companion in question would be Gatanas, the Dremora. If I could get her I.D. even, then I would at least have something to type into the console.