The Alien Compass works almost identically to the Compass, pointing to the exit of the level.
Unlike the Compass however, the Alien Compass also points to the entrance of the Mothership located in the Ice Caves. The entrance is always located just beneath the point at which the screen stops scrolling at the very bottom of 5-1.
As The Mothership entrance is only two tiles wide and directly next to the abyss, The Alien Compass is almost completely necessary in order to enter the Mothership.
To obtain the Alien Compass, one must first rescue Van Horsing in first level of Volcana. He will be behind a locked door, and the key to said door will be located in a sub-area somewhere in the same level.
Finally, if the player did both of the previous steps, they will find Van Horsing in the Temple of Anubis. He will always be found within the same sub area entrance. When the player encounters him, he will be cursed and say "It's not looking good for me. Take this." Afterward, the player will be given the Alien Compass.