Let's approach this calmly - you'll be fluent in your phone's structure in no-time!
First you want to have or download an alert sound / ring tone, like this one:
http://www.1touchmobile.com/downloads/ringtones/bad2bone_LOUD.wmaSave it to your PC. Keep the file's location open.
Connect your phone to the PC via USB.
While connected, click on Start/Computer (or my Computer) and then on the icon that represents your phone.
You can also explore the files on your phone through ActiveSync or Windows Mobile Device Center.
Navigate to your phone's hard drive (not Storage Card) and then double click on your phone's Windows folder.
Since it's a large folder, it will take quite a while to be accessible / for all the files to load to view.
Now right click & copy the wma file from your pc, and paste it into your phone's Windows folder.
Now you can unplug your phone.
On your phone, go to Settings / Sound / Advanced / Notifications.
From the drop down menu, select Messaging: New text message.
Check mark on Play Sound and pick the newly downloaded ring tone from the drop-down menu next to it.
Click OK - and you're done. Next time you get a text message, Bad to the bone should strum.