It sounds like an add-on alarm that is controlled by the central locking. Pretty much the same as the Cobra one Renault fit.
So all you are missing is the by-pass key that plugs into the little socket, if the alarm fails.
To see if it is working properly, try this, somewhere away from home !!!
Lock the car using the remote on your key, wait 30 seconds, then open the door by putting the key in the lock. The alarm should sound and the lights should flash.