It does it's job, which is important. I do have some suggestions however.
Make it easier for a person to input the time.
Do a series of dropdowns
Allow for the seconds to be optional. If the seconds aren't input, have the program assume 00.
Use a control specially designed for time input
Make the time in the label automatically update each second. You can use a timer control to do that.
Get rid of the color change on rollover. It doesn't look professional and doesn't achieve anything beyond "look what I did".
The Transparent button also doesn't do much. If the window stayed on top, allowed for the creation and maintenance of multiple alarms, and provided information about the alarms, I could see having the ability to turn the window transparent as a feature. As is, the usefulness of that is nil.
Having the window disappear and only being able to cancel the alarm by using the Task Manager isn't a very good design. You might want to put a bit of research into how to put the program in the systray so that it can be accessed from there after an alarm is made.