How can I make an Arduino turn on leds at a certain set time
Wait until that time occurs and then do a digital write.
What sort of time are we talking about?
You have several choices....
"Turn LEDs on xx minutes from now" is fairly do-able with the basic Arduino.
If you want....
"Turn LEDs on at 8pm", then you really ought to "treat" yourself to some form of real time clock. (RTC). You CAN build a "clock" (of the "real time" variety) in software, but it is a major pain.
MAYBE what you want is (?) turn the LEDs on at dusk? In which case, why not use a light sensor to detect dusk? Very do-able, again.
If you "need" a RTC, there is a nice one in the datalogging shield from NuElectronics... $16 + p&p from the UK, but it weighs next to nothing... p&p should not be bad.
(The datalogging shield will do lots more for you than merely provide the RTC and the support circuitry for that... but even if you don't use the rest, $16 for a RTC isn't bad, is it?)