First, change the batteries in the remote, clean the contacts with a
pencil eraser, and try again. Also, the dealer can tell you if you
have an anti-theft package installed. You might even be able to find
out over the phone if you give them the VIN.

I would HIGHLY recommend that you either buy a SECOND remote here:
http://www.eeuroparts.com/productdetail.aspx?searchResults=1&code=4929

or on Ebay first and have them all programmed at the same time. The
programming cost will be the same. You should never set the alarm in a
recent Saab if there is only one remote for the car. The reason is
that when the alarm is set it disconnects the engine computer. You
will not be able to start the car until you unlock it with the remote.
If something happens to your remote - lost, smashed, dunked in water,
you will NOT be able to drive the car. Even the dealer can't unlock
the computer, you have to get a new one (+$1000) from Saab.

The reason they did this is to prevent thieves from having devices
that would unlock the cars theft system - but it means that no one,
including the dealer , can unlock that computer. So, make sure you
have two remotes before setting that alarm.