Did the alarm display window pop up at all, or was it jus silent?
If it popped up, ensure that your computer's system volume is not muted or set to a very low level; Citrus 2.1can do this for you if the "Ensure volume" option is checked on the program options screen. Also ensure that your computer speakers are turned on, and that headphones are not re-routing the audio. Finally, Citrus is configured to gently fade in the audio at alarm activation time, which may take a short while to notice.
If the alarm window didn't pop up, make sure your system time is set correctly and that your alarm was set to the right time as well (for example, AM instead of PM).
If none of these basic things apply, is there any other inormation you can provide?