Check to see if your mp3 player has an alarm feature

OR

Maybe you could try creating an mp3 file with 1 or 2 hours of silence, then when it is done playing, it will advance to the next file which would be your dreaming mp3.

OR

Hardware stores have timers that you can buy where you plug them into the wall and then plug your device (mp3) player into. You set the on and off time accordingly. However, I don't think it's possible to leave an mp3 player in the "on" position so when the power gets to the player it starts to play automatically.