Need advice for appeal

I was denied by Anthem BCBS because of an exclusion in my policy. I contacted my employer (a rather large one) to appeal the decision through our HR. They said I can't appeal an HMO decision with them but have to do it with Anthem. I called Anthem and they said I can't appeal for services that haven't been rendered. What the heck do I do now?

I have BCBS of Tenn and I am on my 3rd denial. Everytime I get all the info they say they need in they send me a letter saying I need more. My insurance coorinator at my surgeons told me not to appeal myself but to let them find out why I was denied. They then would let me know what to do next, I was going to send in an appeal form but they said not to do this. I first applied for my surgery late May '06 and am still waiting.