In the 1990s, significant targets in vehicle theft were wheels and tires. To fix this problem, many companies started manufacturing wheel locks, which require a special key to remove the wheel lug. Recently, most manufacturers have started including them on their higher-end vehicles as a bonus. Of course, if you've never removed a wheel with a wheel key, then it becomes a bit more difficult to handle. Fortunately, it's not very difficult and can be done easily with the tools that come with your car.
Open up the spare tire kit that comes with your Mazda–typically located in the trunk next to the spare tire–and locate the wheel lock key. This should be a silver tool, looking similar to a socket in size, with a hex-head at one end.
Hold the wheel key in between your index finger and thumb, then place it on the wheel lug with the wheel lock installed on it. Twist the wheel lock key with your finger and thumb until it clicks in place. You will know that it's secured on the wheel lug when you can't twist it anymore.
Place the tire iron included with the spare tire kit onto the end of the wheel key. Turn the tire iron counter-clockwise to loosen the lug. Once it's loosened, turn it the rest of the way using your hands.
