My '86 300E does the same thing. It seems to be a not uncommon problem. It reached the point where I just disconnected the alarm horn and taped up the leads. Now I find myself driving down the road and noticing my headlights flashing on the back of the car in front of me. Oh well, It's better than having that damn horn blaring when I'm just trying to get into my own car!

On my car I've found that to turn it off, I just have to turn the key in the door lock one time all the way CCW. It shuts off just when it rotates to the extreme CCW position. I think I'm just not turning it all the way when I first unlock it.