Will not go in to park 2006 STS - 2006 Cadillac STS

Nicole, I google it and the 06 Cadillac STS does appear to have a ignition relay. It will most likely be found in the engine compartment fuse/relay box. Check the attached links,instruction and guides, Good luck
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http://www.rockauto.com/en/catalog/cadillac,2006,sts,4.6l+v8,1432044,electrical-switch+&+relay,ignition+relay,3480
2006 Cadillac STS ignition relay Google Search

The fuse is located under the rear seat in the fuse box.Trunk/valet fuse.

It probably thinks you're trying to program a key & fob. I really don't think you can just 'make' a key - I think it needs to be a regulation key fob + key for that particular car - security features and such.

O2 sensor has detected a lean condition vacuum leak

Im havung trouble finding the fuse box to change out my fuse for the cigarette liter

Most of the time, newer cars are going to be faster than older cars, unless they have been completely restored.-----------------------------------------------------------------------
FGTech Galletto 2

On this website you find information (diagram, description and location) about fuse boxes in Cadillac STS mk1 (First Generation; 2005 - 2006)

Cadillac STS mk1 First Generation 2005 2006 fuse box diagram Auto Genius

Only from the coin cell inside it,when you use it

one under the hood one on the drivers side of the dash

It is not visible from the top. It is on the back side of the engine. Visible from the bottom of the vehicle. Use a jack stand whenever going under your vehicle to be safe. Always engage the parking brake, and have an assistance watching you. Good luck.