Hello and welcome .
You may be a little confused on how the system works.
If the door handle on the drivers side has a small black insert putting the key near the black part and holding down the open (or close) button will open (or close) all 4 windows (and sunroof if fitted) at once . 'Summer opening/convenience feature'
If the insert is the same colour as the car it
usually means that the car is not fitted with this function.
The signal from the key to lock/unlock the car is sensed elsewhere on the car. If the batteries are good in the key it should work from some considerable distance , on my 2006 C class that can be 15 - 20 metres away.
There is only one alarm siren on the W203 C class (in the front wheel well) , over time these fail and the internal batteries corrode. On many occasions this causes all sorts of problems with the car such as unlocking it at any time and setting off the hazard lights at random times in the middle on the night etc.
Replacements are relatively expensive and repaired ones found for sale on line are of dubious quality so many owners simply remove it and tuck the wires up out of the way behind the wheel arch liner and live without it.
On my Right hand drive S203 it is under the left front wheel arch but I have seen some videos showing it under the right front wheel arch.