|Are you sure that's the page the instructions you got from Costco said to go to?|
Although I would never use that software, unless they've changed everything you don't enter the key on a Norton site. You would download the software and run it to install it. As part of the installation process you would enter the product key you got from Costco.
I see that page has a different approach to installation but it sounds kind of generic. I wonder if there's a specific download page for the software you want to install.