Use keyboard to select non-default option in dialog

When receiving a dialog like this one, there is a default option (Save) and other non-default options (Don't Save, Cancel). On Windows, to select Don't Save I would hit Tab until it is highlighted, then hit Enter.

On Mac, I can Tab to highlight other options (notice the blue ring around Don't Save), but when I press Enter the default option is always chosen. How do I use the keyboard to select other options? This is driving me mad.