Let's get started!
Follow the Settings link in Google Calendar.
Go to the Calendars tab.
Click Notifications in the desired calendar's line under My Calendars or Other Calendars.
Pick the desired alert method under By default, remind me via.
Select the desired lead time under before each event.
If you wish to have SMS alerts on your phone - click on Mobile Setup at the bottom of the window, or click on Mobile Setup tab.
Here's a short video explaining Notifications and Reminders in Google Calendar