I went through this, too. You have to lock those doors first. After that, you can program up to 4 remotes. If you program a 5th one, the first one done will "drop off" and not work anymore for that vehicle.
Keep that in mind if you bought your "X" used. There could be remotes floating around out there that are programmed for yours, unless you have 4 in your possession that all work on your "X". Hmmmmmm.
Depending on who you got it from, I suppose that could be a security concern. Hey Electroken, is there any way to reset the remote programmer thingie, or something like that, to ensure that only the remote(s) that one has in their possession will open the door locks? Just curious...