If anyone's still trying to figure this out for their 1999-2003 Sienna, find yourself this part: 89741-08030. It's a $400-$500 OEM part but I've just seen one on EBay for $75 and then pulled one at a junkyard for $10. Plugged it into the 7-socket harness in the spot mentioned by others in this thread (behind the drop-down tray in the center console) and it worked like a gem.
The programming sequence was driver's door open and unlocked, key in and out of ignition once, cycle driver's door lock 5 times, close and open driver's door, cycle door lock 5 times again, put key in ignition and turn to ON and back twice (not starting the vehicle), then remove the key. This didn't work for me at all until I put in the receiver, and then it worked the first time and seemed completely forgiving about timing. If it's not working for you, you probably don't have the receiver.
As a side note, I have a 2001 CE that has power door locks and security (no power doors). Keyless was an option, not standard, and the difference is that receiver.