Using MS Exchange as your mail server? This would be considered critical
information in a request for help, along with WHICH version of Outlook that
you use and the operating system version. If using Exchange, it sounds like
its UDP packets are not getting to your host to let Outlook know there are
new pending mails.
Above is just one reason why UDP packets may not reach you. It could
another cause in your network that blocks UDP packets from Exchange. You'll
have to switch to the polling method mentioned until the Exchange or network
admin figure out the problem.
Vanguard mentions the reason if your mailbox is on an Exchange server, but
if it's not, then you need to define a send/receive interval (ALT-CTRL-S) in
order for Outlook to fetch mail automatically.