Every time I set the alarm/lock my Z3 with the remote central locking, the headlights/indicators/hazzards on the car flash constantly.
The car stays locked but I can't lock the car when I park anywhere in case it runs the battery flat!

There's no alarm siren noise, and I've never heard it either since owning the car 8 months, so I can only assume that the siren has been switched off.

Any suggestions would be greatly appreciated. I'm selling the car so ideally a cheap fix is what I want!!

is it a factory alarm if it is call up gmw and ask them some questions then call up your local stereo shop that installs alarms and ask them some questions

Try disconnecting the ALARM SIREN. Then the Hazzard lights, etc, until you get something to work right.