It sounds like an aftermarket alarm. There are too many varieties for anyone to help without being at your car. I hope my advice isn't too elementary. Trip the alarm and trace the sound to the siren. When you find the siren, disconnect the wires. Then go to a stereo shop and have them disable or remove it.
If it's a US car, it will have a VIN tag along the driver's windshield pilar visible from outside. The VIN should begin with WDBCA37A or something like that. If the VIN begins with WDB126037 or just 126037, it's not a US car. The numbers on the firewall behind the battery are NOT the VIN... at least not in the DOT sense.