Security is bad, real bad, what to do?

Went to Pasar Malam yesterday at Taman Harta Pertama, Bukit Baru, Melaka at 5.10pm. Bought some fruits,eggs and tau fo, within 10 minutes, we were back at the car, Melody, my daughter first noticed the window of the car was broken. My computer bag with no valuable to the thief (I have valuable documents) was gone . However, 2 other bags with valuables were around!
Went to the Police Station immediately, thinking, at least a detective with a gun can come to search the place. The police did not do that.
As fast as I could, without completing the report, I went back to the scene of crime. Start asking the car washing boys around if they see any one with the black computer bag. Went to the mosque, the Abang told me last week, the Tabung Derma in the mosque was stolen. Even the mosque is not spared! Went round the area, look at all the rubbish bins to see if my bag was there. Expecting the thief to chuck the bag as soon as he did not find what he wanted, the computer! Told some friends around the area to look out for my bag!
Went back to the Bukit Baru Police Station to complete my report. After spending 1 hour, was told that I need to report to Sjn Subri at Melaka Tengah, he is not free to come to Bukit Baru, I have to go. Spent at least another hour there!
By the time I finished my report, while driving home, I looked at my watch, it was already 8.30pm. I asked myself, what is the use of reporting?
Can any one give me some feedback?
This is not my first report at the Station. The Mercedes Logo in front of the car had been stolen 3 times! wasting a lot of time reporting!
Do you think so?
In fact the police ladies in the police station at Bukit Baru told me last Thursday, there was a similar case of car window breaking at the same Pasar Malam! Did the police take any action?
I felt like going next Thursday, during the Pasar Malam to watch over the place (ambush! the culprit.) Do you think I should do the detective job? Seriously, I am thinking of doing it! Who will provide me with a gun?

Lo and behold, broken window!
Broken window, the broken glass on the car floor.

Broken car window.

Broken window was covered with plastic sheet to prevent rain water from getting into the car.

My blue car was parked beside the main road.

You can see my blue car on the left, the mosque nearby on the right.

On the same side of the road where the car was parked.

Opposite side of the road where Pasar Malam was located.

Position where my car was parked.

See Sjn. Subri in his office.

Went to Melaka Tengah.

Reported to the police at Bukit Baru. Got the report. Was told to see the detective at Melaka Tengah.

Good samaritan, Mr Yap Hon Chong found the bag in the drain out side of RHD Bank in Bukit Baru! Thank God for him. All the things in the bag are intact. He brought the bag at 12 noon. He noticed my name cards in the bag, that led him to my clinic.