Emergency flashers with key
 

I just got a new key from the dealer for my 2004 A4. I tried using it to start the car, it does start it, and I am able to drive the car, but the emergency flashers come on right after ignition. Pressing the emergency button does not make the flashers go away. Starting the car with my regular key does not cause this problem. Why is this happening? I heard the dealer might need to program the chip for it to start the car, but if the key already starts the car, that means the chip is programmed, right?

Additionally, I can't seem to program the FOB. Here is what happens:
1.) Turn on ignition, don't start the car: OK
2.) Lock driver's door using the key being programmed (mechanically): OK
3.) Press "unlock" button on the key being programmed: my car unlocks but not every time I repeat this step, the lights don't flash, the horn makes no sound
4.) Press "lock" button on the key being programmed: nothing, even when the car unlocks in previous step
5.) Unlock driver's door using the key being programmed (mechanically): If step 3 works, my car is already unlocked, otherwise it's still locked from step 2
6.) Try remote: nothing
I tested the battery charge with a multimeter: 2.97V

The programming of my remote finally worked, now only the emergency light problem remains. I actually figured out that when I start the car with the new key first, it starts and then dies. When I start with regular first, then take it out, and start with the new key, then it starts and the emergency flashers go on.