Following
http://www.twhl.co.za/tutorial.php?id=3 should teach you how to rotate stuff (if you didn't know), and you'll need the volumetric looking light.
You'll build your alert light in two parts though. One for the rotating solid base, then two more brushes for the alerty lights. Make the rotating entities have the same properties as far as speed goes. You'll set up the lights in the shape you want, and then set the texture effect property to texture and the FX amount to 0. It will be invisible.
Whenever you want the light to turn on.. you will use an env_render to change the light brushes to be visible with an FX amount of ~50 on additive mode. (Env renders change the target entity to reflect the texture effect settings in the entity)
Also, turn on the rotation at that point too. You'll need a multimanager to get it all happening at the same time.