You'll have to be a bit more specific but assuming it's an externally powered siren, you'll need a relay attached to the alarm output to switch the siren on. You can't power the siren directly from the NVR and you'll likely have to use an external relay to switch the power.
This is what we like to use. Its a relay with a timer to shut off the out going power to your siren. You wire your dvr output into the NO contacts and your power supply into the relay. When the dvr triggers the output, the relay turns on your power. You set the timer for how long you want the relay to hold your circuit closed. Hopefully I have this right, its been a while since I put one of these in personally.