The DEALER is the only one that can program the immobilizer (unless you have the 7-digit SKC)...
...which came on a little rectangle metal tag with the keys when the car was new. If you do not ahve the 7-digit SKC (Secret Key Code), the dealer has to hook up the car via the diagnositc machine, and the imobilizer is programmed from the factory via the interface...the dealer never sees the code. They typically charge an hour of labor to do this, even though it takes about 10-15 minutes.
As far as the other programming (unlocking the car), you can do this, but since you need the dealer anyway for the immobilizer, they can do that at the same time.
Prices are shockingly high at the dealer for the parts, but contact Carson at Riverside Audi (cheter@riversideaudi.com) and mention taht you are with AudiWorld...his prices for keys are VERY good!!!