I found this on eHow and am wondering if anyone has tried this:

"The ignition of your Mercedes E320 contains a specific code that is used when programming your keys to ensure that your keys open and start only your E320. When you purchase a new or additional Mercedes key for your E320, it must be programmed with car before it will work. The programming process is easy, and you can do it yourself in just a few minutes."

1. Place your new key into the ignition of your Mercedes E320.
2. Hold down the "Lock" button on the key fob.
3.Remove the key from the ignition while maintaining your hold on the "Lock" button.
4. Push the "Unlock" button on the key fob five times, consecutively. Do not release your hold on the "Lock" button while pushing the "Unlock" button.
5.Release your hold on the "Lock" button to complete the process.

 

I had a problem with my old key which resulted in me buying a new one from the dealership. I have Keyless Go, and I was told that I told by two different dealerships that I will have to pay an additional fee to have it programmed once it arrived. Luckily, when I picked it up, the person assisting me in the Parts department advised me to "give it a try." I went out to the car and it started right up, so that saved me the $72 fee that they were going to charge me to program it. I tell you this story because dealerships can be wrong. In this case, Keyes European and Mercedes-Benz of Encino gave me incorrect information. If you end up purchasing a key from the dealership, it may work right out of the box.

 

A key from the dealer will work out of the box. I do not think you can program a key to the car with the above method.

 

When you buy a key from the stealership, there's a reason they check your VIN (and your ID and registration). It's so that the distribution center in TX (if you're in the US) can program the key before they ship it to your local stealer.