With the clock app open, use the Menu key (sometimes called the BlackBerry key) to select Options. You can change the alarm sound there.
Setting a one-time alarm is not very intuitive and new users have a hard time figuring this out. You'll find there is a right way to do things, a wrong way, and the BlackBerry way. One-time alarms are done through the calendar. Open the Calendar and use the Menu key to select New Alarm.
These things will start to make sense when you begin to get the overall BlackBerry philosophy, but it's almost like those optical illusion posters where you have to step back and focus your eyes differently. Stick with BB long enough and you'll eventually see the logic.