Having worked in various Ford dealers in the past, I can confirm that dzug is indeed correct in their instructions of how to key-in a radio code.
If this hasn't worked, try starting all over again.
Disconnect the power, then re-connect and leave the ignition key in the second position, radio on.
After some time, you should see 4 'dashes' on display.
Key in code as per dzug instructions, pressing 5 key to 'enter'.
If this doesn't work, then chuck it (radio not car), it's knackered.