If its just for the remote locking then you could follow the instructions in the owners handbook but ive yet to come accross a multiplexed 406 owner who has managed to get them to work.
If its for the transponder immobiliser then.
A Peugeot dealer
Find the blue security code card that you got with the car.
Take ALL the keys with you
They will use there Diag2000 to code the keys to the cars BSI unit.
The multiplexed 406 like you have isnt very user friendly for key programming / coding.
Lee, June 2007