I had this same predicament when I bought my car.

My alarm "brain" was under the dash, on the driver's side. I took it to an alarm shop to see if they could locate it. So that's where mine is, and it's a fairly common place to put it.
I then bought a remote and had him program it to my car... don't ask how... I do not remember! You probably need it coded, I'd assume.

Good luck!

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2006 E350 w/ 155k miles (Daily Driver)

Previous:
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)