Right-click on the desktop or other desired folder and choose New->Shortcut.
For the location of the item, type the following, substituting the path and
name of the song or playlist you want to wake up to:

   "C:\Program Files\Windows Media Player\wmplayer.exe"
"c:\myMusicFolder\mySong.mp3"

or

   "C:\Program Files\Windows Media Player\wmplayer.exe"
"c:\myMusicFolder\myPlaylist.wpl"

Then, open Start Menu->Accessories->System Tools->Task Scheduler.  Create a
scheduled task for the time you want to wake up.

While I don't see the lack of a simpler method to do this in WMP as a huge
issue, I do think it is an obvious good idea to give WMP alarm clock
capabilities.  I think that so much that, in my own Media Player program I
wrote to manage Windows Media Player, I added that functionality (the
program is not available for release yet so this isn't a plug).  I made
mine, at the prescribed time, play the desired song and then, there are
three modes it supports for volume:

1.  I can leave the volume where it was last, or
2.  I can have it play full volume from the start, or
3.  Media Player starts at the volume last played and then increases it a
little every minute until 10 minutes later it is full volume.

Next, I am going to add text-to-speech and have my program give me verbal
notification of scheduled events.

These are the kinds of things that would have made WMP a great program.
These are the kinds of ideas that the Windows Media Player product team
overlooked in favor of  bells and whistles with album covers instead of
things that would have made users want to choose WMP over other options.

Dale