Actually, I had a similar problem when I first acquired our 97 Eddie Bauer this past Fall.
If you have power locks, and you can see a red "theft" light come on in your dash after you turn the ignition off, then your EX should be wired for remote keyless entry.
When I bought the remotes for our EX off of ebay, the ones I got have two black buttons at the top and one orange "panic" button beneath. If the remote you bought has more buttons than this, it might not be the right remote and may not work.
One of the remotes I recieved did not do anything when I tried to program it. I turned the ignition from off to on 5 times within 10 seconds, leaving it in the "on" position on the fifth time, and the locks all cycled (locked or unlocked, I can't remember), but then when I pressed the buttons on the remote, nothing happened.
Turns out that the battery for the remote didn't work. So I went to Batteries Plus, spent $3 for a new battery, and tried again. Everything worked fine, and that is the remote I use now.
I'd check to make sure that the battery is installed correctly and then if it still doesn't work, go get areplacement and try again.
Hope this helps.
P.S. If you have more than one remote, make sure you program all of them at the same time (do the ignition switch thing, listen for the locks to cycle, press any button on the first remote, the locks will cycle, then press any button on the next remote, the locks will cycle again. I think you can have a maximum of 3 (4?) remotes).
