You can't just hook it up straight to the battery without going through some kind of switch. Also, what is going to be your control? Most sirens include a control box (what actually has the siren noise), and the speaker (which projects the siren noise). So you would hook the speaker up to the control box and then have the control box hooked into some type of power source.
Could you give us a little more specifics of what kind of siren you have right now? Sounds like you might want to get a professional to install this.
This would be considered the actual siren (control box):
This would be the speaker that you hook to the siren: