Take the key out of the bottom, then look at the tab button thingy you use to get the key out, then flip the key over and press the black inner section, it's like another button and pull down to reveal the battery!
If your sig is your current car then you're in the wrong forum. This is for B8 Audi's and until the RS4 arrives there isn't a V8 and as such your keyfob is different to ours. My old S4 had the "flick knife key". My B8 has a fob.
Have you never had to change a battery in any of the keyfobs for the cars you've had?
When you "plip" it, how do you think it works if there's no battery?
The manual should show you how to change it and the type of battery you need.