EFCs don't work with all setup codes, but if they work, this is how:

1) Press the magic key (short, for just one blink).
2) Enter the first two digits of the EFC.
3) Aim the remote toward the device.
4) Press the third digit of the EFC and (if the function might require a long signal) hold it for the duration you want the signal sent.

Note there is a timeout (several seconds) between steps, so you don't have time to reread the instructions or recheck the EFC number between steps.