Set the "from" date/time as desired. The "to" time doesn't matter.
Set the alarm to "Open file" (for an application) or "Run script" (for a script).
Choose the application/script.
Set the alarm to go off 0 minutes before the event.
If you want it to run even if iCal is closed when the alarm should go off, check that the "Turn off alarms when iCal is not open" option in the Advanced pane of the preferences is off (I think this is the default).