Set up procedure for Phillips universal remote sru 3040 11?

You mean a Philips universal remote control SRU 3040 II.

Here is the Philips support page for this remote (both 3040 and 3040 II):

http://www.p4c.Philips.com/cgi-bin/dcbint/cpindex.pl?ctn=SRU3040/10&scy=GB&slg=en

At the bottom, you can download the 5MB manual (many languages; it's actually only a few pages per language, plus a big table of codes in the back).

------The following doesn't work with the sru 3040, but maybe with other models:

I have a Phillips universal, but not sure if it's the same model you are mentioning; anyway, here's what I have to do.....

Code search: (with desired device "on")

Push & Hold "Code Search" (stays lit)

Press desired mode (TV, VCR, etc…)

Press "Channel Up" repeatedly (up to 300 times)

Until channel changes

Press & release "Mute" to lock in code

Code Id:

Push & Hold "Code Search" (stays lit)

Press desired mode (TV, VCR, etc…)

Press & Release "Code Search" button

Press numeric numbers (0-9) watching red indicator;

1st "Blink" is 1st number of code, continue pressing numeric numbers, 2nd "blink" is 2nd number of code, 3rd :blink" is the 3rd digit of code.