You would have to give your VIN# to a dealer and ask them to bring up the service records to see if an alarm was ever programmed for your car.
Odds are you do not have one.
Here is one source:
http://bmw.dealerfit.com/store/bmw-x3-alarm-system-prod1389_13859.php
Or if you just go with the blinking clown nose, make sure you don't already have this as it does not start blinking right after locking.
Mine takes several minutes before it starts.
If it needs programming, and the dealer says it's not possible, give them this general instruction for the 3 series w/o iDrive:
Activating the clown nose and flashing blinkers WITHOUT installing an alarm:
1) Hook up the diagnostic computer to the vehicle
2) Go to "Anti-Theft" activation
3) Activate the alarm, but uncheck the "DWA" option
When done, corner lights will blink once when locked and twice when unlocked.
In addition, after the car is locked, the clown nose will start blinking - after a short delay.
For some 3 series models, these are a single programming item.
Not sure if that is the case for the X3 - they may be 2 separate options.