Well, I'm not an expert on Malaysian law, but here in the US its perfectly legal to design and sell police sirens -provided your buyers are real law enforcement agencys, ambulance and fire companys
Having a siren on your personal car would be illegal no matter if you bought it or made it yourself.
If you say what you want to use the device for then it may be easier for us to locate what you are looking for. If it is an actual police siren that you want - some people are scared of police officers, and copying police equipment in public can make it worse. There are many types of sound generators on the market, however.
Actually, I doubt that using a police siren is illegal. Putting it on a moving vehicle and trying to get some one to pull over definitely is. Just like police style flashing lights aren't illegal but using them on a moving vehicle most certainly is.
By the way, I sure do like it when people have a nice succinct title to their post... Don't ya just hate it when people type really long descriptive ones?
Many cars have alarms these days, with a wide variety of siren sounds. Some even have several to select from. Is it just a coincidence that none sound remotely close to a police siren?