A few of links for you in case you haven't tried these so far.

Two links for the sound because the setup is twofold;

1] How to ensure that Windows has a "New Mail Notification Windows system sound" selected if an email client software requires it;


This allows you to choose which sound to use.

2] How to set WLM to play a sound when new mail arrives;


This sets WLM to play the sound selected in 1] to play when new mail arrives.

3] How to set WLM to show an icon in the Notification Area when new mail arrives;

In Windows Live Mail, check in Tools, Options, and that both Make Default buttons are pressed and grayed out.

Also - How to ensure icons in the Notification Area display correctly;


I hope that helps.