I also responded to your thread in "General", but more detail here...
Look at the first picture in this thread:
http://www.contour.org/ubbthreads/showflat.php?Cat=&Board=trouble&Number=728450&Forum=trouble&Words=keyless%20entry&Match=Entire%20Phrase&Searchpage=0&Limit=25&Old=allposts&Main=724569&Search=true#Post728450
You'll see the two pin connector. Do you also have the gray plastic module (with the just-visible antenna connection on the side)? If you don't have the module, you don't have keyless entry. However, if you have the programming connector, your car is probably wired for keyless entry (be glad: mine isn't). In that case, you should be able to just add a module, antenna (and maybe some relays - check wiring digram).
You're also in luck (I've been watching for such things): A keyless entry module for a '99 Cougar is currently listed on eBay (act fast - closes in less than a day, but no bids right now):
http://cgi.ebay.com/ebaymotors/ws/eBayISAPI.dll?ViewItem&item=7940839720&rd=1&sspagename=STRK%3AMEWA%3AIT
I'd be interested in bidding on it myself - but I also need to get harness connectors, etc. so I'll probably just get everything out of a wrecked car.
If you have the gray module, and everything seems to be hooked up correctly, you probably have a wiring problem somewhere. It's helpful to have the factory manual wiring diagrams if this is the case. If you don't have them see the classified ad by "todras"; he sells them on CD (I just got mine recently).