Turn On your Nintendo DS without a game. You'll be taken to the home screen. Click the system settings icon at the bottom of the screen.
First be sure your Nintendo DS clock is correct, if not select the clock to set the time.
Now that your DS Time is correct select the alarm icon and setup the alarm time then go back and quit you DS will shutdows.
Restart and go to the alarm screen, you need to turn On wour Ds alarm and you will see an count down timer indicatind the time left till the alarm sounds, be sure to have you DS volume at max to hear it. Close you Nintendo DS, the alarm will sound at the time you set :)