Your car may not have that option...like mine. No horn or lights no matter how many times i hit the lock button...look in the owners manual and it'll tell you how to figure out what options you have.
I know you take the "mall pgm" fuse out and turn the key to accessory adn then to off and back to accessory again and itll ding X times for what options you have...i think that's how...it's been a while since ive done it with my car.