Mercury 1996 Cougar Owner's Manual page 108

You can also arm the anti-theft system by
following this sequence:
1. Remove key from ignition.
2. Close all of the doors.
3. Press the remote entry transmitter LOCK
button to lock the doors. The alarm indicator
will come on for 30 seconds to show that the
alarm is arming and then turn off to show
that the alarm has been armed.
The anti-theft system is designed to work with
the factory installed remote entry system. It may
not work with other remote entry systems.
107