The alarm should be automatically activated when the doors are locked. To set it off, leave a window (or the top) down, lock the doors with a key, then open a door from the inside. Locking and unlocking that same door with the key should turn off the alarm.

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Mike Heath
1988 560SL Black/Palomino
1988 300SEL Black Pearl/Burgandy
1984 500SEC Anthracite Grey/Palomino