You have to make sure that the music files you have on your phone are in .wav format rather than .mp3 or .wma.
You can use mp3 and wma files as well, but I believe you need to put them in a special place or something for them to be listed. See my next point for an alternative...
Although i would like to be able to set a different tone for my message alert and my alarm. I guess i've just been used to nokia.
You can. Just go into the notifications options. An alternative would be to check out "PPC Profiles" (look in the software section of modaco PPC). It allows you to have multiple profiles e.g. home, work, so everything can have a different tone depending on where you are. Also, I think it makes using mp3s etc easier.
For a more functional alarm, check out "Stoptime". Does handy little reminders as well. Both software utils I mentioned are free.