I just set mine during lunch.
There should be a button to the right of the LED screen with a tiny clock on it. Press this button and then the hour should begin to flash. Use the channel adjustment knob to change the hour, then push the clock button again and the minutes will flash. Do the same here.
If you are lucky, your local radio stations may be broadcasting the time for you. If you are REALLY lucky, they might be broadcasting the CORRECT time (I've yet to find a station that is more accurate than 5 minutes in metro Detroit). To use this feature, tune into an FM station that broadcasts RDS (station identification, etc.), press the clock button once and the hour starts to flash. Then press and hold the clock button for 3 seconds or so. The display will either show UPDATED or NO UPDATE. If you get NO UPDATE, wait 5 minutes or so and try again. If NO UPDATE continues, try another station.