You only use the 1, 2, 3 and 4 keys to enter the code.
To enter a '9' you have to press the '1' key nine times. Assuming you start with 0000, to enter your code you press...
1 1 1 1 1 1 1 1 1 3 4 4 4 4
When you've got the correct code displayed, press the 'PROG' key. It says in the manual to press it briefly, but I had to hold the key down for a second or two for it to register. I'm not sure if that's normal.