Dear lucavilla,
I have exactly the same need as you (though I need a notification for another purpose). I find it amazing that Live messenger does not include the possiblity to run a command upon an alert (maybe V9.0 ?)
Playing a sound or displaying a pop-up is fine, but running a command triggered by an event is the only way to build an automated process.
So far the only way I've found to do that is to install a small software called StatusChangedNotifier, which includes this feature (among others). It lets you run a command (.exe or .bat or whatever executable file).
you can download it here (it's a freeware)
http://www.01net.com/telecharger/windows/Internet.../fiches/32492.html
The only problem is that I've some doubts about the stability of the program. Sometimes it works and sometimes not --> check it yourself
I'm still looking for a more stable tool, but meanwhile it can help.
If you manage to find one, please let me know.
Best regards & best wishes