That's just to set the clock, that's not an alarm. I don't think there is an alarm in this phone, I'm looking for it too. Does anyone know where to download it? When I tried to download Java apps (for the alarm clock), it stayed on the "receiving" screen for so long that I couldn't wait for it any longer and had to cancel the download.
I have checked the phone's manual and it doesn't say anything about setting the alarm clock. Please try check under Settings > Display/Info > Clock. You may try press the Menu Button to check for further options.