The sentry key immobilizer system consists of 2 modules. The sentry key immobilizer module(SKIM) and the Powertrain Control Module(PCM). If you have 2 valid (previously programmed) keys, you can program up to 8 total keys without going to the dealership. The procedure is in the owners manual and is very easy to do. If you have only one key, then you need to have another key cut and programmed at the dealer. At my dealership, it costs $50 for a cut key and another $50 to have it programmed. You can disable the system if you wanted to do so. It would require you to remove or disconnect the SKIM from the steering column area and replacing the PCM with a factory fresh unit. Once the PCM has recognized the vehicle is equipped with a SKIM system, you cannot unprogram it, it will always look for the signal from the SKIM and prevent the vehicle from starting untill it receives a message over the PCI bus. Basically, if you bought the Jeep from a used car dealership, tell them they need to furnish you with another key. If you bought it from an individual, then you might be stuck going to the dealer to get another key. I have a 01 WJ that has this system and I have 4 keys programmed. I like to have spares around just in case I do lose the key. If you lose the key, you will need to have the Jeep towed to your nearest Jeep dealer so they can program a key, they must have the car there to program the key.
Long story short, get another key. It will save you money in the long run.
Bryan