Two things to try.

If you press and hold either the lock or unlock button for about two seconds, look in the red window on the fob, you should see a round red light flash for a second each time you press and hold. If you see that light, it's possible your remote at least has power to work. If you don't see any light flash, then nothing is happening at all (no power). Is it possible you put the batteries in upside down ? They will fit upside down (and not work). See the + mark on the inside of the cover and the + on the batteries. Both + should face the same direction toward the removable cover. Also, CAREFULLY check the little flexible contact pins, maybe they are bent out of position slightly and not making contact with the batteries enough. Again, CAREFULLY is the caution word here, they probably will break off very easily if you bend too hard.

Next, on the programming of it, the way you typed it, it didn't exactly show the right procedure, but you may just not have described correctly what you were doing.
The instructions I got with my new fob said:
1. Insert the key into the ignition switch.
2. Press either the lock or unlock button momentarily twice.
Turn the key in the ignition switch to the ON/RUN position within 30 seconds.

Your description said you put the key in AFTER you pressed the button. I don't know if you actually did it that way, and whether that even matters, but if so, try again following exactly as stated above and see if that helps.