To create the hands of the clock, click on the line tool and draw a line from the centre of the clock, in any direction, representing the short hand.
In the Stroke palette, set the thickness of the line and, in Swatches or Color, set the stroke colour.
If you would like to add an arrow to the line, remember that, unlike every other drawing program, Illustrator does not treat arrowheads as a stroke attribute. With the line selected, choose Effects > Stylize > Add arrowheads then choose and arrow from the gallery.
The arrowheads are fairly large, so you will probably need to enter 50% or something similar in the Scale box.
Repeat the above procedure to create the long hand.
(Should you need to edit an arrowhead once it has been created, select the line to which it is attached and choose Window > Appearance. Add Arrowheads will be listed as one of the attributes of the selected object. Simply double click Add Arrowheads to edit the original settings.)