Does your car have keyless entry? I know on the '96 Roady hitting the lock button on the fob twice activated the factory alarm, and hitting the unlock shut it off.
Also, if you activated the alarm with the fob, and then reached through an open window and pressed the unlock button on the door panel, and then opened the door, the alarm will go off. I used to do this to the kids to freak them out. Get out of the car and hit the fob lock twice, and then Eddie would unlock the door and open it, and freak out when the horn began to blare. Haha! I'm a bad father.
It sounds like you alarm activated while you were driving, which is why the doors locked, and if you manually unlocked the doors, not using the key fob, but using the button on the door panel, that will set the alarm off.
That help?
-Mike