This actually does involve zone programming.
Essentially, each button on the remote gets mapped to a wireless zone in your system. You designate a zone type of 20 for Stay, 21 for Away, and 22 for Disarm. Basically, the key fob "trips" the zone, causing the desired action.
As part of each zone's definition, you have to enter an input type. Normally this is RF on a wireless zone, and you'll be prompted for the serial number. Push the appropriate key on the fob to enter the serial number (you have to do this twice, waiting about 4 seconds in between, for it to register properly).
Depending on your panel type, you may also have to assign a user to the first zone used by the remote (e.g., on a 3-button remote, you'd be using zones 16, 17, and 18, say; the user gets assigned to zone 16). That's the user code that will be used to do the arm/disarm actions. This had to be done on my Vista 20.
The remote comes pre-programmed with a house code. This house code and the house code in your panel must match. On my Vista 20, that's *24 in programming. The fob's instructions should say how to change/view its house code (usually you count blinking lights to view the code).
Hope that helps.