Start by looking on the iPhone's desktop ad find Clock, which is where you set the time code that you want to use. Inside here, you look to the bottom Clock task bar and find Alarm, which is to the left of World Clock and to the right of Stopwatch. Here you will have all the Alarms you have set, but if you have not set any there will be nothing in this list.
Go to the upper right hand corner and you will see the "+" button to add another alarm. Press it and you will have an Add Alarm screen up. Here you can set the alarm to Repeat on specific days of the week, or not at all. You can also choose the type of sound you want and if you want to have the ability to hit Snooze on or off.
For organizational purposes you can try to label the Alarm, but there will only be a single option. At the bottom will be the rolling wheel where you can set the time you want the iPhone Alarm to go off.