Also, make sure that you look through the TuneECU manual. It will tell you the proper sequence depending on the activity that you are about to do. In most cases, you just want the key on without the engine running. Other times you do have the engine running (such as balancing the throttle bodies).
During the engine off operations, make sure that you pull the headlight fuse (20 amp). Very important. Of course, when you get ready to start the engine you have to reinsert the fuse.