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I think there's a procedure you take with the yeyless remote or something. Have you tried searching on the subject, poke around in the explorer forums as well. I remember seeing a post on this for an 04 eddie bauer explorer, or maybe it was an expy. Not sure.
I remember reading in my owner's manual (yes I did read it when I bought my truck new) about the procedure. Mine is an '04 SD also, I'll see if I can find it my manual.
With ignition off and all doors closed complete steps 1-7 within 30 seconds
1. Turn the ignition key to ON.
2. Press the power door unlock control three times.
3. Turn the ignition key from ON to OFF.
4. Press the power door unlock control three times.
5. Turn the ignition back to ON. The horn will chirp.
6. press the unlock control, then press the lock control. The horn will chirp once if autolock was deactivated or twice (one short and one long chirp) if the autolock was activated.
7. Turn the ignition to OFF. The horn will chirp once to confirm the procedure is complete.