In WinXP you can do Start > Program > Accessories > System Tools > Schedule Task...
Click the icon labled "Add Sceduled Task"
From there click Next, browse out to whatever file you want to run and click next
You can fly right through those options because you can edit any of them eventually click next next next and get to finish.
Now you can edit that task.
On the schedule screen you can set up how it runs, "Weekly" is neat because you can set it up to only trigger on certain days of the week (like M-F if you're a 9-5 grunt like myself). On the Settings tab is where you can control the "Power Management" setting, the one you want is "Wake the computer to run this task" (I think its checked off by default).
There's alot of neat features.
By doing some quick Google research into .bat files, you can see some really cool stuff you could do. A .bat file is like a little mini program. Basically if you opened notepad and put something like...
START
http://www.themanadrain.com/START wakeupsong.mp3
And then saved that into something like "Alarm.bat" you could have your task run Alarm.bat (as opposed to making a bunch of tasks on the same timer).