Located in the driver side wheel arch, behind the plastic liner near the bulkhead. You need to remove the wheel and the arch liner. It is mounted on a metal bracket secured with a security Torx bolt. You will need the right bit to unscrew, or give the centre pin a sharp whack with a drift and hammer and it will snap off. Then you can use a standard Torx bit.
The alarm just unplugs, but it is a sealed unit. If the batteries have leaked then is will need replacing due to corrosion on the circuit board.
New unit is about £65 from Merc. If you drive around with no alarm fitted, chances are your insurance will be invalid.