I run Outlook 2007, not 2010, but it should be similar...
While you are in the Email Options click
Advanced Email Options and from there you will see it has 3 different options to notify him when new messages arrive. Outlook may need to be running (even if it is minimized); I do not know that I have ever seen these messages but I don't keep mine running thus the reason I mention it.
Personally I prefer to run an app called Pop Peeper that goes out and scans all my email accounts every 10 minutes (time delay is user set) because it checks my hotmail accounts as well as my ISP POPmail account and it displays an icon in the notification area as well as plays a wav file I have set up. POP Peeper also has an icon I can simply click on to open up Outlook from there. Links to POP Peeper can be found in the email section of our
Freeware DB.