How do I get the key to relearn itself?

Here is the procedure to reset the GM Passlock system:
Turn ON the ignition, with the engine OFF.
Attempt to start the engine, then release the key to ON (vehicle will not start).
Observe the SECURITY telltale, after approximately 10 minutes the telltale will turn OFF.
Turn OFF the ignition, and wait 5 seconds.
The vehicle is now ready to relearn the Passlock Sensor Data Code and/or passwords on the next ignition switch transition from OFF to CRANK.
(note: Sometime you have to repeat this procedure three times total)

Important
The vehicle learns the Passlock Sensor Data Code and/or password on the next ignition switch transition from OFF to CRANK. You must turn the ignition OFF before attempting to start the vehicle.

Start the engine. The vehicle has now learned the Passlock Sensor Data Code and/or password.
With a scan tool, clear any DTCs if needed. History DTCs will self clear after 100 ignition cycles.

If you have a new key it must be programmed by the dealer. Did you give them your VIN number before you picked up the key? Because they can code it before they give it to you.