I've got a '98 model S40, which is only slightly different from the models sold in the US (I'm in New Zealand). On this model, and I believe the newer ones as well, there is a transponder inside the ignition key. The engine is disabled whenever the key is not in the ignition. So even if someone copies the key, the transponder also needs to be copied or else the car will not start.

The (sort of) good news is that the one circuit diagram that I did look at (for a '99 US model) has a very simple way of disabling the engine. The immobeliser is just in series with the starter motor relay. Now I do not know if there is any special inter-computer communication going on, otherwise it would be as simple as letting the new car alarm bypass the immobeliser starter motor output when the alarm does a "remote start". That way you have the functionality of both the immobeliser and the remote start alarm. It will work great, as long as the ECU and immobeliser computer does not check each other... If you have a circuit diagram, locate the immobeliser box, disconnect it, and "hot wire" the starter motor relay output. From memory you just have to connect the correct wire to ground, but I can't remember. What I do remember is that the starter motor relay is just in series with the transmission interlock switch and the ECU and the immobeliser, a very simple system.

Keep in mind that disabling the immobeliser would most likely require installing the alarm by a pro, else it might affect you insurance.

My advice is to find an installer that has done an S40, unless as a minimum you do electronics as a hobby. Otherwise it would be much cheaper to just insulate your garage or fit a block heater. Have fun...