Go to Tools > Options > Alerts and tick the boxs that apply
Hope this helps
Am running Windows XP, with latest messenger (it must be, because I use cnet tech tracker)
When I get a message, even when it was running in background while I used other applications, it played a sound, so I knew I had a message.
For some reason, it has stopped doing this, so now, it might be hours before I spot an incoming message.
Any clues what has happened here?