greg is absolutely correct on the procedure for removing the fuse. that'll get your lights installed.
but, you need to address the other issue of getting your pin and learning how to manually override your alarm. you may need it in a pinch.
first, in order to retrieve your existing pin code, do the following:
with a working fob present (if the battery in the fob is old/weak, change it), turn your ignition on-off-on-off-on
press the left turn signal button 3 times
press the right turn signal button 2 times
your existing pin will show in the odometer with the first digit flashing. if you wish to change it to another number, use the left turn signal to cycle the numbers, then the right turn signal to enter. zero is not a valid number....
now that you have a good code stored, to manually input it, without a fob present, turn your ignition on, then press both left and right turn signals at the same time. that should put you in code entry mode. again, cycle with the left, and enter with the right. once you have entered all 5 numbers, you'll be able to start the bike. you will have to do this every time you start your bike (as long as you don't have the fob), its not a one time deal.
with a little practice, you'll be able to manually input your code in about 15 seconds.
the best reason for knowing how to do this is that someday, you'll find yourself parked in an area where there is rf interference and your bike won't start. instead of pushing your bike all around the parking lot looking for that spot that doesn't have interference, you can just input your code and rock on. not quite as bad with a softail, but pushing an 850 lb touring bike around the parking lot sucks!
now this procedure is all from my touring bike manual, i'm assuming that the alarm on the other models works the same......
if you'd like to have a quick reference for the owner's manual, go to h-d.com/owners/maintain your ride and you'll be able to create an account where you can load the owner's manuals