Which mail account type are you using?
When you right click on the Taskbar and then choose Properties, press the
Customize... button. Does it list the envelope icon there?
If so, make sure you set it to "Show icon and notifications".
Also note that the icon and sound only work for new messages that are
delivered to your main Inbox folder. For other solutions and workarounds for
that see;
http://www.howto-outlook.com/howto/mailalert2003.htm
--
Robert Sparnaaij [MVP-Outlook]
Coauthor, Configuring Microsoft Outlook 2003
http://www.howto-outlook.com/
Outlook FAQ, HowTo, Downloads, Add-Ins and more
http://www.msoutlook.info/
Real World Questions, Real World Answers
-----