In the event of a carbon monoxide alarm sounding

Follow the manufacturers' instructions, some are equipped with a reset button which should be pressed.  If the alarm sounds again don't take any chances - get out of the house and call the appropriate personnel depending on who is qualified and trained to deal with these situations.

Keep in mind that in the event of a home fire, your CO Alarm may sound even before your smoke alarm comes on.  While CO alarms are not listed or approved to provide protection against a home fire, there have been many situations where a CO alarm sounds before a Smoke alarm

When building materials catch fire, tremendous amounts of carbon monoxide are produced - possibly even before sufficient smoke is created to set off a smoke alarm (which, by the way is another good reason to have a CO alarm).

Should there be sufficient reason to suspect CO is present, evacuate the premises and call for help. 

In the past, emergency responders have recommended opening doors and windows.  This may not be a good idea for several reasons:

The CO alarm may be responding to carbon monoxide from a home fire.
If you are in a potentially toxic environment, it's probably not a good idea to remain in the house opening doors and windows (unless there is a person present who for what ever reason can't be moved).
If doors and windows are opened, the CO will ventilate from the building and when emergency responders arrive, nothing may be found.

Also, keep in mind that developing a relationship with an HVAC contractor or Home Inspector who has been trained and has carbon monoxide test instruments could be a valuable resource in the event of a home alarm sounding.

Having all gas/oil fired heating equipment tested on a regular basis may help reduce the likelihood of an unfortunate poisoning death or injury.