If you prefer to do it with the code on the rental company site, go onto the Costco site and start a reservation. Once the site gives you the price, click the next step to book, then go to the details, and the code will be in the fine print.
I always find that it's best to run through it on the Costco site first, because it will check all 4 brands for you. Yesterday I dropped my Alamo rental in favor of one from Budget after a re-check of the Costco site showed a rate $50 cheaper than the rate I'd been given with Alamo.