00 silverado keyless entry

[owned many chevys]

I have a 00 silverado and checked the glove box codes and it has the remote keyless enrty ,but I never got the key fob .I ordered one that is supposed to be for my truck ,the instructions said to close the door and hold down the door lock button and the window on the dash will tell you what to do ,so whenI hold the lock switch down nothing happens ,am I not doing something correct .i KNOW IT HAS LOCK OPTIONS BECAUSE WHEN i DRIVE THE DOORS LOCK BY THEMSELVES which I dont like any help thank you