Yes, if the module is separate from your original installation, there is usually a test light or circuit with which you can test the electronics of glass breaking sensors. Installation usually consists of attaching the red and black wires correctly, as well as placing the sensor on one of the doorframes, or on another fixed window/frame combination. Once it is in place and wired into the electrical system, it is easy to test the circuit without damaging your windows, as a red light or warning buzzer will sound, indicating that the sensors are working correctly. These circuits are used to notify that the glass in your vehicle has been broken in an attempt to steal an item from you.
For more info, see Everything You Need to Know About Car Alarm Sensors