Welcome back!
Sorry that no one replied I would try again on the crossfire club. A lot of great people around the world own these cars.
I take it by this last post it is a headlight bulb that is blowing? Is that the only bulb blowing? It could be as simple of cleaning the corrosion out of the connector.
The siren issue try pulling fuse # 9 in the fuse panel under the hood on the passenger side near the battery. There should be a card in there that will tell you which one is #9. If you send pictures that would help. If the alarm stops it then we have a great start to that problem.
If you get the Mercedes codes from the shop that tested it that would also help us.
I doubt that it is the BCM. In my limited dealings with this issue it has never been the BCM.
I know you stated that you are not very mechanically inclined and I truly hope someone near you reaches out and can help you.
The more detailed information you give us the more we can help from a distance.
Remember you could just take a picture and point to something and that would even help.
The immobilizer module is what we call the skreem module. You can search on this forum and find a lot of info on that topic.
But your keys work and the car runs so that also is a hard sell to me as your issue.
I will do all in my power to help you. I would hate for you to sell your car over something that we could help you repair.