Originally Posted by Alter Peter
Could be one of two things a) you don't have the alarm option or b) one of your fuses has blown. Best get the dealer to confirm it you do have the red bubble on the rear view mirror so you should have the alarm.
Not sure what years darks M3 is but 08s are all prewired for the alarm, so they all have the red bulb on the underside of the mirror. Made it so I could install the alarm as a DIY.