Okay alarming I know, but your dog interpeted the break in as a welcomed guest. Train your dog to bark when someone knocks at the door. Have a friend stand out side and knock loud. Get your dog excited, "whats that, get it, watch!". Praise when the dog barks. Then start knocking quiter, jiggle the handle, tap on windows. Train your dog to be alert at all these sounds. You could also join your local Schutzhund club and train your dog in protection work. Always reiforce the bark with a treat and a command. Lets call the bark command "protect" so you say PROTECT! Dog barks, you say gooood protect, then treat. Repeat all the time.