Two trains of thought:
1. Don't tell them. This means they have to work harder to get you in a car, as they have no idea what you're willing to spend.
2. Tell them. This way, there's no faffing around with them showing you stuff that is either way over or way under your budget.
Me, I just tell them. They're going to figure it out once I start getting interested in a car anyway, so I see precious little to be gained from hiding my budget. I may go lower, or I may go higher. I won't tell them my absolute top whack I'll pay, but I see no harm in mentioning a figure. Life's too short for playing games, they'll either sell you the car for a price you're willing or they won't: No amount of hiding and double-bluffing will change that.