Assuming you are using one of the common Sony setup codes like TV/0000, TV/0111 or TV/1100, adding the sleep function via advanced code should work:
1. Press and release TV
2. Press and hold SETUP until the remote blinks twice
3. Type 9 9 4
4. Press and release SETUP
5. Type 0 0 0 4 9
6. Press and release the button you want the SLEEP function to be on.
The remote should blink twice if the programming is ok
You can get the codes for other functions here:[Link: hifi-remote.com]
You need to add two zeros in front the the advanced codes listed there since your remote takes 5 digit codes.