1. Turn the ignition on, to where you would normally enter the code.
2. enter the code as usual, not touching the key.
3. press the "c" button once.
4. enter the new code.
5. press the "c" button again, this will be confirmed by 4 beeps.
Read more: http://wiki.answers.com/Q/How_do_you_change_the_immobilizer_code_on_a_1996_citroen_saxo#ixzz1XPGmFfNK
King_ZZR, September 2011
