Wow, pretty ambitious project for a 14 year old with what sounds like not a lot of experience. There are a lot of things involved in making an alarm system. Most use a brain and a bunch of external sensors. Because you are just getting started and only have a Radio Shack to purchase from you might want to simplify your first project.
If you want my opinion get Cat# 28-278, it’s a kit for sensors. It’s not an alarm system but the knowledge you gain from the kit can be directly applied to building an alarm system.
You might also want to get some books on alarm systems from the library and see how they’re hooked up and try to replicate some of the stuff you see there on a smaller scale.
As far as what sensor is the best goes… well it depends more on the area it will cover and what you’re trying to detect. This kinda of stuff you’ll learn more about in books and develop in testing your projects.
Also, try not to limit yourself to Radio Shack, but it’s a great place to start!