These are the steps required in order to create a Lead assignment rule:
1. To review the Lead Default Settings, in Salesforce go to Setup > Build > Customize > Leads > Lead Settings
2. To review the Lead Default Assignment Rules, in Salesforce go to Setup > Build > Customize > Leads > Lead Assignment Rules
3. The last Rule Entry must be blank. Step 3 must have the "Do Not Reassign Owner" option checked.