I don't use any Instant Messaging myself so I can't help you there nor do I use an alarm program.
Regarding Backup to Memory Card, My Old iPaq 2215 had came with an OEM version of
Sprite Backup and it certainly did the trick but on my Loox n560, I purchased
Spb Backup and I think I like it better.
Regarding your sound issue, go to Settings>Personal>Sounds & Notifications and you should see what to do.
I would hope that others would jump in here to offer advice on Time and IM software but you could take a look at
PocketPC Mag's 2006 Best Software Awards for a few ideas.