That'll depend on how you are viewing the mail. If you're using an application to view mail, then you're looking for however that app deals with notifications.
If you are using the web client then that will supply sounds etc on new mail.
If you want notification when there's no mail client open, then you need a notification app, something like the zimbra toaster which works under windows.
Plenty of third party applications exist that may meet your exact requirements, but it will all depend on exactly what it is that you are trying to achieve. | 
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