Now that I migrated to Linux, I realized that you can achieve exactly the same but directly from the OS, that is, without resorting to third-party software at all.
This is the way to do it:
1. Before the OS loads, press the key that the computer tells you to get into the BIOS. It can be DEL, ESC, or any other key that the system indicates. You have to press it quickly; you will be taken to a screen that looks like this:

2. Once in the BIOS, look for the Power Management page and follow the screen instructions to get "Resume by Alarm" or "Power On Alarm".

Set the desired time. Save (normally by pressing F-10), accept (yes) and then the computer reboots.
With this, the computer will turn on by itself at the desired time as long as it is plugged to a power outlet. That should be enough if you want the computer to wake you up. However, the idea is to make it play a song that you like and launch the programs that you need. To do that, you need to set some alarms in KOrganizer.
3. KOrganizer is hidden in Mandriva 2010 Spring. To find it, go to the bottom-right panel and click on the arrow to display it.

4. Once you find it, click to launch it and input the date and the time. You can just select the time periods as blocks on the schedule.

5. The following step is very easy: the alarms. There is a red icon that indicates the reminders.

You must click the box to be able to configure reminders. Once the box is checked, some options are enabled. Click on "advanced" to configure the time.

Now, if you want the computer to play a song for you, select "sound" and look for your song.
Obviously, you have to click OK to confirm and your sound alarm will be ready. If you want to launch your browser, select "application" instead of "sound" and specify the name of your browser. You can do the same for any other program.
I hope this tutorial saves Linux newbies like me some time when there is not any to lose ;-)