Windows Mobile Professional default alarm sounds can be indeed changed, as well as the other accompanying actions you device will take at the given time and schedule.
In order to change the defaul script (Sounds, Repeat the Sound, Flash light and vibrate), open up your alarm by either going to Start, Settings, System, Clock & Alarms or tap directly on the clock on the homescreen. This will bring up the Clock control panel, where you need to tap on the Alarms tab. While there, make sure you tap on the Bell icon and that will take you to another menu. Here you can customize the alarm sound from those existing on your device and customize the other settings. You can do this to each of the three alarms so that you can have different scripts (different sounds, vibration, light) for different alarms.