In that case, it goes a little something like this...
Disconnect the battery as a precaution.
Under the bonnet, Lift the metal tabs on the two big plugs on the ECU to release them.
Undo the earth wire to the ECU
Unscrew the ECU from the top of the throttle body
Fit new ECU (reverse of above). Be careful when refitting the big plugs - you don't want to bend the pins on the ECU.
Inside the car, remove the fuse box cover
The immobiliser ECU is above/behind the fusebox (it's a bright yellow thing, the size of a fag packet or so). Personally I find it easier to remove the fuse box completely to get at it.
The immo ECU is held on by 2 10mm nuts. Remove these.
Remove the 2 connectors going to it (one is the connection to the engine ECU/electrics, the other is the antenna wire).
Fit the new one and reassemble.
On the kitchen table, prise apart your key(s) and the key(s) that came with the lock set.
Swap the transponder(s) (small black thing next to the blade) and the circuit board(s). Try not to get them mixed up