I had a P-reg megane with the same problem, and there is a way round it. It turns out the immobiliser just "forgot" my keys. I wasn't keen on shelling out for another one, as renault wanted £150 to reset the immobliser and give me a new set of keys.
Here is where I can't give you the code (unfortunately) but the advice will still work.
Renault have a way of getting a 4 digit immobiliser bypass code from your chassis type (inside the drivers door, on the ID plate) and from the circuit board inside the key. They run it through a program which gives out the code. If you still have your original documents, it should be written down somewhere, if not Renault will most likely charge you about £20, even though it should be free to the car owner, seeing as how it came with the car in the first place. Try and avoid the code generators that are available on the internet, better to just go straight to the dealer, or check the books if you still have them.
The next step will depend on whether you have a central locking button on the dash, to the right of the stereo, if not I think there is another method. If you put your key in the ignition and turn it to the 1st position, the immobiliser light in the middle of the clocks should flash repeatedly until it recognises the signal from the fob press.
if you press and hold the central locking button, it will start to blink slowly. I no longer have mine (scrapped) so it wont matter if I dish out my old code for the purposes of the explanation - 6451.
In my case I had to press and release the locking button on the dash for 6 flashes, 4 flashes etc, you get the idea. The immo light the goes out and the car starts, but it is a royal pain every time you want to start it.
If you don't have the button on the dash, I think it was the same sequence on the accelerator pedal, it's been about a year, so I'm a little hazy on that method.
Hope this helps.