In this paper, an acoustic threat detection system is investigated as preliminary study of one of the anti-terrorism systems. The proposed system is a prototype of acoustic threats detection, classification, and direction finding system. For this purpose, an experiment is performed to test the capability of a proposed warning system to perform the task accurately. The direction of the sound source is determined by means of two microphones. The angle to the acoustic threat is calculated based on time difference of arrival (TDOA). The limitations of the system are discussed and some possible solutions are introduced to improve the performance of the system.