You use the numbered buttons on the front 1-4 to change the 1st, 2nd etc digits. So to change the 1st number, hold 1 until the number you need is shown. Change the 2nd, hold 2 and repeat. To store the number I think you have to hold the last number (6?) and it will burst into life.
Did the numbers change when you pressed the buttons? Or was the trouble getting it to save the code? What I explained was from memory when I did it a while back which I'm certain is accurate...