There should also be a button inside the drivers footwell that you press (right by the bonnet catch). I can't remember whether you have to do it just prior to locking the door, or when you first open the car (RTFM ;o) ) but that does the same thing, I think.

I had to use it when my passenger window was smashed.
 
The alarm button in footwell was taken out a while back. Just the key fob way now. 1 press lock - locks doors with deadlocks and arms alarm with interior sensors. 2 presses lock - locks doors without deadlocks and only sets battery drop of alarm.
 
ahh thanks guys,

I was wondering why i couldnt find the poxy button in the footwell the other day.
 
Unlock the car with the key in the door and then leave it for 30 seconds or so. The alarm will go off so once you've got a headache switch it off by using the unlock button on your key.