dyanca outlook will do that automatically - just make sure under Tool>Options>mail Delivery it is set to check for messages every X minutes. It will sound an alert when messages arrive.
You can also go to Tool>Options>Preferences>E-mail Options and tell it to put up an alert message when new messages arrive.
Those directions are for outlook 2000 - I presume other recent versions are similar.
Under Tool>Options>Preferences>E-mail Options>Advanced Options "Sound an Alert" must be checked to get he audible alert - but that should be on by default
This will not work obviously if outlook is not open.
Hope this helps, and :wave: :wave:Welcome to TechSpot :wave: :wave: