I'm still having trouble with my system - I shorted out the cig lighter, and it blew the fuse. It hasn't done the closure thing since.
The alarm box is next to the passenger side suspension turret. There is a small round keyhole with a rubber cover. You can use that to switch it on or off. The siren is enclosed inside the box - it doesn't look like a siren or a horn.
Hope you have more luck than me!