If this is a step in a point-form list of instructions, then the basic structure (i.e. the abrupt language) is fine, otherwise, there is more to the problem than the to vs. at.
The context matters. In the first, the alarm is being set to sound at 5:00 am, in the second case, the alarm is to be set to some undefined time, once 5:00 am hits. Presumably you want to say when the alarm is to sound, so the first is what you want.
Edit: I agree with Cathy that for is better than to; at least, that's what I'd normally say.