First turn the handlebars full lock, left or right.
Then turn the key anti clockwise, moving the bars back & forward a few inches, until the steering lock is activated.
If you look at the top of the lock barrel, there are some symbols around the key hole. The furthest left is steering lock on, no lights; one back from there is lock on, parking lights on.
This is all explained in the Owners Handbook, complete with pretty pictures.