95 Maxima QX SE AUTO- ALARM is not ON, how to turn it on??????

Hi there,

I have a 95 Maxima QX SE, & have the remote control for it, it works
fine but when I lock it; it doesn't flash its lights or make a sound
except the sound of the door lock itself, I was wondering on how to
turn the alarm on, as my car was recently been smashed into & almost
got stolen........

Thank you
aymenpiccolo