Outlook does not show desktop notifications on a message receive

"Found this info:

""It only works on the Inbox folder"" By
default the new New Mail Desktop Alert
will only show when the mail is
delivered to the Inbox (as the option
says as well in Tools-> Options->
button E-mail Options-> button
Advanced E-mail Options). This means
that when you have a rule configured
to move your mail to a different
folder the Notification won’t show.

To workaround this you can add the
action ""display a Desktop Alert"" to
each and every rule. Besides the fact
that it is very tiresome, the real
downside of this is that when you are
in an Exchange organization the rule
will become a local rule so that it
will only execute when Outlook is
running. This means that when you have
added extra actions to the rule, like
forwarding it to another address, this
action won’t be executed either.

A better solution it to create a
generic rule with no conditions and
just the action to display the Desktop
Alert.

1.Tools-> Wizards and Alerts… (press OK if you get an HTTP warning)
2.Button New Rule…
3.Select ""Start from a blank rule"" and verify that ""Check messages when they arrive"" is selected
4.Press Next to go to the Conditions screen
5.Verify that no condition is selected and press Next
6.A warning will pop-up stating that this rule will apply to all messages. Press ""Yes"" to indicate that that is correct
7.Select the action ""display a Desktop Alert""
8.Press Finish to complete the rule
9.If needed move the ""display a Desktop Alert"" rule all the way to the top

Here: http://www.howto-outlook.com/howto/mailalert2003.htm#always_alert

Sounds like what you're running into."