Call setup... does it have to go to a monitoring company?

[Dave <dave.harper@xxxxxxxxx>]

I'm new to alarm systems, and was interested in setting up one in my
home.  The main reason is to alert me if someone breaks in while my
family and I are asleep (preventing theft while we're gone is
secondary).  So I'm not really interested in monitoring, but would
like to get a call on my cell if my wife and I are gone and the alarm
goes off.

I called one of the online alarm suppliers and asked about the call
setup (specifically for the GE Concord 4), and I was told that most
alarm systems can only call monitoring companies... but I'm
questioning that.  They told me I could get a telephone module that
would call additional numbers, but I'm wondering why I can't do that
with the base system.  Surely the number is programmable, although
maybe only monitoring companies have the capability of programming
it...?

So my question is this: are most alarm systems set up to only call
monitoring systems?  If so, is there a way around it?  It doesn't
violate any laws if I program it myself, does it?

Thanks in advance!
Dave