Ours is a Midland and we bought it at Radio Shack.
You can enter a county code, multiple county codes, or just choose "any" and not enter anything, ever. The county codes are just so you won't get awakened by an alarm for a flash flood watch two counties over. The county code is simple and you can download a full set for all the US. Also, it will automatically find the weather station, or you can choose the station through the menu.
We used to have an alert radio where I could program what kinds of alerts I wnated to hear and block the rest. But it was smarter than me and I never could get it to work right (never sounded an alert) so I trashed it and bought this simpler one.