You should probably do what Daron. has said first. (I assumed that they were adjusted properly)
If you still run into problems, then it sounds like the relay is negatively triggered. My system is negatively triggered.
Make sure that the common contact on the switches in the actuator is grounded and the other two wires are connected appropriately.
If you have a dodgy earth or you have one of the other switch contacts grounded, then that would be a problem.
To test to see if the relay is negatively triggered, put a multimeter on DC volts and connect it across one trigger from the relay and an earth on the vehicle. If there is a voltage there, then it is negatively triggered becuase the switch in the actuator will gorund the trigger wire and trigger the relay. This should be done with the actuator disconnected from the relay and power is connected to the system.
To test if the contact is grounded properly, put the meter on ohms or continuity and put the meter across the common contact on the actuator and a suitable earth on the vehicle. This should be done with the actuator connected to the relay and power is connected to the system.
If the relay does turn out to be positively triggered (By what you have said, it seems very unlikely), then check you have +ve 12v at the common contact. This should be done with the actuator connected to the relay and power is connected to the system.
I know that this might be a bit to take in but these are actually quick 5 minute tests.
About the alarm, the indicator and brake wires can't be connected at the fuse. This is because it will connecting before the indicator switch and the stop light switch. This will mean that the indicator lights will not flash unless the indicator switch is switched on and the stop light wire will constantly have +ve 12v applied and the alarm will be constantly triggered. So, the wires have to be connected after the switches.
Could you please tell me what brand this alarm is.
Also about the alarm and the relay, are you talking about the immobilisor relay inside the alarm module, or an external relay that is triggered by the alarm module.
I am terrible at explaining stuff so if you don't understand something just ask me to clarify.