It was an option. Look under the driver's seat. There should be a box if it has the alarm.
If it doesn't and you want this feature, find a used alarm system from a wreck and wire it exactly like Toyota did it. This way if something goes crazy, it's easy to diagnose unlike some crapshoot aftermarket alarm. With that said, the OEM alarm usually doesn't go bad.
There is a red light left of the steering wheel. Never knew what it was for. Does the light mean anything?
Does it say Toyota on it? If not then you may have an aftermarket piece of junk in there.