Ah thanks. I have decided to get the extra key as promised by the dealer where I bought the car and have then reprogram both keys with a new code. However, I'm going to get an alarm system install and I'm sure it will come with a transmitter.

I took my car to an alarm shop, and they confirmed that I don't have any alarm system installed, except the factory engine disarmed system

 

Not trying to doubt your alarm shop's info...but if you pull down the map lights(on mine i just stuck my fingers under the left and right side and pulled down) and you see a screw holding in a metal piece, that's the keyless entry module. Here are some pictures of what it would look like. When I bought my 2005 Mazda 3, it only came with one key(the same style you have) and nothing else even though it was advertised to have keyless entry. Also, if you do end up having this module in your ceiling, the remote model number you would need is KPU41846 which is for the 2004-2006 Mazda 3.

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Wow that's interesting. No I don't have that in my car. However, I ended up installing a Viper Alarm System. Its a 2way and actually now I have keyless entry and will open the cargo door as well.

Let's hope that alarm would do the job, since I'll be parking overnight out on the streets. I thought about getting The Club, but most people told me that the Viper would suffice. Thanks