I don't have a Glisten, but many Windows Mobile devices, you need to move/copy the sound file into the My Documents\My Ringtones or My Documents\My Music folder on the device. (Not on the memory card, if any are inserted.) Some devices are also limited to the max size of the sound file. (Samsung used to have a limit of 300kB.) So you may need to run the sound file through an editor (for example Audacity) in order to copy just a section of the sound file, if necessary. Hopefully, that's not something that HP or AT&T crippled.
I'm not sure about the music as an alarm, but if you find out how to shut off the start-up and shut-down sounds on the Glisten I would sure like to know. The sounds are awful. Especially when the battery starts to die and you're at a funeral.