My local stereo/alarm shop installed a keyless entry and alarm on my 95 E320 for $199. Sounds like the first guy doesn't know what he's talkin about. But make sure you go to someone who has HAD EXPERIENCE with mercedes/bmw/audi/vw etc... I wouldn't let any punk kid at the stereo shack cut into my MB wiring. Talk to the installers, they'll tell you straight out if they can do it or not. The salesman will say they can just so they can take your money. For example, I went to circuit city, and they had never touched an MB. It can be done, but it will take a good 4 or 5 hours compared to a toyota which might take an hour. They will have to install two relays (make sure they are Bosch) next to the vacuum pump under the rear seat. This will interface with the vacuum locking system enabling the keyless entry. When they start doing their work under the dash, insist on them mounting the "Brains" of the alarm above the steering column, out of sight. If you don't tell them this, they will do it the easy way and lay the "brains" right above the pedals.

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'95 E320 Sedan w/224K Miles (W124)