Sorry to disagree with you triggerhappy, but if the car "dies" in the explosion it wont obey when you order it to "say" the sound. That's why you need to make a different object "say" the name of the sound.
But then again, if you just want the sound to be heard, no mather where the player/camera is located, you can use "playSound" instead of "say". Then you don't need any object to start the alarm