I had the same problem on my 97' SL2 which is the same thing just not a wagon and had to take it to the dealership. I'm not sure what they had to do to it.

This is the procedure for the 1998, give it a try. Let me know if it works. To program the RKE module with a new transmitter, use the following instructions: Have all the transmitters that will be programmed to the Saturn Present, even if only one is new. Put your key in the ignition, and keep it in the OFF position. Locate the DLC. It is fastened to bottom of the left side of trim panel under the steering column. (see Picture) Use a jumper wire to provide a path from the RKE system program circuit (cavity 8) to ground (cavity 4). Use an available Saturn lead kit and splice, to create a jumper wire as shown. Grounding the program circuit causes the horn chirp. Count the number of horn chirps. The number of chirps will correspond to the mode the RKE module is in. Obtain the desired mode number by referring to the Saturn Security System mode chart. Cycle the ignition key the number of times that correspond to the desired mode, making sure the key ends up in the LOCK position after it is cycled. The key must be in the LOCK position to program the module. (See Chart) Keeping the program circuit grounded, simultaneously press and hold the LOCK and UNLOCK buttons on the transmitter. The horn will chirp the number of times corresponding to the mode programmed when the process is completed, may take up to 15 seconds. If there is no response, repeat this step, making sure both buttons are pressed down firmly. If there is still no response, check the transmitter battery and battery contacts. If you are only programming the RKE module with one transmitter, proceed to step 7. Still keeping the program circuit grounded, repeat step 5 with the next transmitter. You must not allow more than one minute between programming the transmitters, or the RKE module will exit programming mode and you will have to start over. If you accidentally disconnect the ground wire from the DLC before completing this step, you will have to start over at step 3. If you accidentally disconnect the ground wire from the DLC, after completing this step, only the first transmitter will be matched. If you make a mistake, start over at step 3. Remove the jumper wire. Test the operation of each transmitter with the Saturn. Close the decklid or liftgate.