The immobiliser cuts in automatically after stopping the engine. The "CODE" light on the dash is the clue to it - when you put the key in and turn it to the first position, that lights up until the ECU has read the code chip in the key and is happy. When the "CODE" light goes out, the immobiliser has been cancelled and the engine will start.
Have a look at the excellent Bravo Guide site set up by Alfanige - it gives a great deal of information for Bravo/Brava/Marea owners.
Have a good Weekend!