Alienware should be overclockable from the BIOS. Since their mobo are proprietary to them, to actually have a UI BIOS from Windows, I don't think they do.
Check out the Alienware forums. Overclocking can sometime be very simple: tweak the multiplier 1-2 points up and viola -- 3ghz. But it can also be serious business, tweak the voltage wrong and viola -- fry the whole chip.
Best advice before trying anything, read, read, and read some more. Oh, and make sure the cooler can handle it.
Running a homebuilt AMD system right now at 4ghz with the lightest overclock setting I can (voltage still low and stable). Less is more.