Eric,
If I remember right, the battery has to be left connected and turned on and you need to have a switch fitted into the red lead going to the "G" or "Lock" connection on the controller. You operate the switch to break the circuit and then press the cruise control button within 10 seconds and you should hear a beep. Movement of the wheel should activate the alarm and trigger the wheel locking function.
I'm sure there are some posts on the forum somewhere regarding the wiring.
Alan