Have your BluRay already powered on. If you are trying to program it to the AUX button, then press the AUX button, then press and hold the SELECT button until it flashes. Once it flashes you might be able to just keep pressing the power button until the BluRay shuts off automatically.
Leafs Nations was right, but you must hit the channel up button each time after you try the power button. I used the same procedure to program my cogeco remote to control my Yamaha receiver. Basically, each time you press the channel up button you are trying a differenent remote code, and you continue to cycle through the codes until you find one that turns off your blu-ray player. I will warn you, it can take quite a while to find a code that works (10-15 mins).