Here is an instruction on how to program SAAB transponder key by using the popular DIY diagnostic tool, GM Tech2 scanner from careucar.
Tech2 gm scan tool for GM/SAAB/OPEL/SUZUKI/ISUZU/Holden

An Electronic Key is a key that contains an electronic device called a transponder. As shown in picture below. Each transponder has a specific code embedded in it. The car must be made aware of the key and its transponder by programming with Tech 2 scan tool. But the key still needs to be cut although the transponder provides for the electronic unlocking of the car’s engine, the key must still be cut for the lock cylinder to turn the ignition and door locks.

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The 9-5 and Original 9-3 were the first Saabs to use an electronic key. Gone is the ability to simply have your hardware store cut you a spare key, these keys must be electronically programmed to the car that they will be used with. There is a lot of confusion and questioning on the respective boards regarding these keys, how to add more, what to do when you lose them all, etc. Hopefully, this FAQ will answer all the questions regarding these keys.

When you insert the key into the ignition, the TWICE module (Theft Warning Integrated Central Electronics) energizes a loop of wire surrounding the ignition key. The electromagnetic field generated by this loop (think of a very weak electromagnet) provides power to the transponder. The transponder sends its electronic code, which is read by the same loop, and TWICE then checks to see if the transponder’s code is in the list of “accepted” keys. If it is accepted, TWICE tells Trionic all is well, and Trionic starts the car. The message “KEY NOT ACCEPTED” will appear in the SID if it is not accepted, and the car will not start.

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Note: This instruction works only for 1999-2002 Saab 9-3 (and 2003 9-3 CV) and the 1998-2009 Saab 9-5. Earlier cars do not require programming as extensive as this, and the 9-3 Sport Sedan/Sport Combi are a different breed altogether.

Hope this will help anyone.