hey, im new to giving advice so dont be suprised if this doesnt work, if you go into "my computer", "control panel" and "install/uninstall programs", and double click on msn messenger (whateva version your using) and click repair then that may help, just a thought. if that does'nt work make sure that in your personal setting's in "alerts and sounds" that the box that says "display an alert when e-mail is recieved" is tiked.
I think you should try my second advice first becoz repairing it could remove programs from msn
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