Not sure if you have PassLock or PassKey(either black resistor pellet in key shaft or has PK3 stamped on key shaft).....
With Passkey I, II, or III, just turn the key to "on", the SECURITY light should go out after 3 seconds(bulb check)....if it stays on, you have a PassKey problem.....
With PassLock, the THEFT or SECURITY LIGHT stays on until the car starts......if it starts and immediately stalls, then the light may flash....in some cases, it just stays on solid...
Codes for the Security system are "B" codes, like B2958/B2960.....most code readers can't read "B" codes...
Sure sounds like a security problem and the injectors are not firing......
First check fuel pressure....if ok, then have someone crank the car while you spray carb cleaner into the intake....if it runs as long as you spray, the injectors are not firing....this is usually a Security problem, because a fuel enable signal has not been sent to the PCM....
There is one other possibility, bad MAF sensor....disconnect it and see if vehicle starts....
Also check for fuel in the vac line to the fuel pressure regulator....but that is usually a problem on warm starts , not cold ones....