Allow me to, enlighten you.
First start the minecraft launcher. Then press "New Profile". Then hit the check box that says: "Allow use of old 'Alpha' Minecraft versions (From 2010)".
Then select the Minecraft Version with the "Use Version" bar. Then select any of the "old_alpha" versions, name the profile something like "alpha" and save the profile. Select it and press PLAY.
Hope this helps!