did your barrel have a long piece of silver metal sticking out of it at the top?
that bit needs to go over the little square piece of metal that locks your steering wheel. from memory to put it in you need to put the key in the barrel and turn it to 'accessories' which is between 'lock' and 'on' then slide it into the cylinder. there may be a small piece of plastic that pops in and out of the barrel when you turn the key to lock which you may have to press quite hard to push in as far as you can cos' that will foul on the cylinder when you try to slide it in and make the install impossible.
its best to do this with the steering wheel off btw. its a bit of mucking around too. make sure you hve a beer or something nearby to calm down.
p.s. the little pic is called an avatar and you will find the option to upload one in "user cp" which is a link at the top of this screen.