For the record, I just want to add that I tried the "put in the first key, put in the second key, put in the new key" thing and it doesn't work. Have to have the key programmed by a locksmith or dealer. I imagine they update the immobilizer with software, that's it.
It's been awhile, but I finally got my new remote fob sorted out, here's what happened:
Got the remote/key blank from "artiway" on Ebay. The remote programmed perfectly, took it to a locksmith to cut and program the key. The locksmith cut the key ($30) but could not program it -- and the key would only go into the ignition and driver door, not the back hatch or passenger door. Found another locksmith who could program it ($30 again), but he couldn't make the key work on the other two doors. He claimed the blank key was a valet key and would never work on all doors.
Dissatisfied, I wrote to artiway on Ebay and he said the key was not an valet key and had been improperly cut -- if I would mail him an original key and the improperly cut key, he would make it right at no cost. He's in Taiwan so I was hesitant, but I took the chance. For an extra $30, he promised he would forward me an additional remote/key fully cut and programmed as compensation for my experience.
It took about 5 weeks to send the key and get it back, but I'm happy to say that artiway did everything as promised -- both new keys work flawlessly in all respects. So all's well that ends well. Should have just sent the key to him in the first place!