From the 2004 MINI Owners Manual - applicable to 2002-2006 MINI Cooper and Cooper S Models:
Initializing the master key with remote control
When you activate a master key with remote control – for example a replacement or additional key, or after a battery change – it must be initialized.
This initialization can be performed in two ways:
Press 'Wing' button or the 'unlock' button four times in succession
if the vehicle is unlocked:
1. Switch the ignition on briefly, position 2, and then off
2. Within 10 seconds, press 'Wing' button and 'unlock' button in succession.