Almost anything is possible in the world of OFP scripting
Heres an idea:
The incoming EH doesn't give you a whole lot of time to react.
instead of an incomming missile EH for the chopper, give the SAMs a fired EH. Use the "this select" parameter to capture the rocket.
use the distance command in a loop to determine the distance of the SAM and the chopper. Once the SAM is a set distance to the chopper, have it execute the warning.
use a dirtoobj function to get the direction from the chopper to the SAM, use a getdir for the chopper and convert the difference into a clock direction.
You can find good tutes on this site to use custom sounds for the warning, or just use sidechat.
If you are willing to wait, I could do one up. Private Message me if you like.
-Grendel