None of the 3-series cars (except the M3) come with a standard alarm system, they kinda screw you there. The sales person will phrase it as "your car is pre-wired for a security system.
They point of the motion sensor, the red led that lets you know if your alarm went off when you were away from your car, etc... But what they don't tell you is that is a $500.00 option.
It sucks but if you want an alarm system I would just get one from the dealership, just for the reason that it's made for the car and your key will activate it, instead of carrying around an extra remote unit.