Without knowing the particular vehicle, so just general hints for this kind of thing...
You'll need an ammeter with a current range of at least ten amps - most cheap digital multimeters will do the job. Alternatively, the low-tech solution is a 12v bulb and a bit of wire...
Remove master fuse, if there is one, or the battery positive lead if there isn't, and measure the current across its holder (or stick the bulb there and see if it lights up). Ideally, the only standing current with the ignition off and the doors closed will be a few tens of milliamps feeding the alarm, the remote locking, and possibly a keep-alive on the radio.
If you're seeing more than that, you then need to start removing fuses from the fusebox. When you find one that suddenly decreases the current, you've found your problem. If removing all of them doesn't remove the current, probably best - unless you have at least a detailed wiring diagram - to get an auto electrician in.