[Darkness231]

Have you tried
Start->Settings->Personal->Sounds & Notifications--Notifications Tab
Select
Messaging: New text message
or
Messaging: New Threaded SMS message (if using palm threaded SMS)

The text message ringers must be in the \windows folder and can be in .mp3 or .wav format. I've had issues with .mp3 so I use .wav

As far as the alarm ringer. When you are setting the alarm, click on the alarm bell icon. From there you can select the ringtone and vibrate, and repeat options. Again alarm ringers must be in the \windows folder and can be in .mp3 or .wav format.