Turn on the electronic component that you want to control with your universal remote.
Enter your universal remote into "Program" mode. Typically, this involves pressing and holding two buttons at the same time, like a "Setup" and "Device" button, or a "Setup" and "OK" button. The specifics will be different depending on your remote.
Press the button that you want to assign to your component. If you want to control a DVD player, for example, press the "DVD" button on the top of your universal remote.
Enter in your new remote code using the number pad. This should turn off the component, indicating the code was entered successfully.