You don't state what version of Outlook and you don't state what version of
Windows. For OL 2003, click Tools>Options>E-mail Options>Advanced E-mail
Options and put a check in the "Show an envelope icon in the notification
area" box.
If that box is already cecked and you're using Windows XP, right-click on an
empty spot on your Task Bar and choose Properties. Then click Customize.
Find the "You have new unopened items" icon and change the behavior by
clicking on the currently displayed behavior and choosing "Always show".
Click OK, put a check in the "Lock the taskbar" box and click OK again.
You could try MailSpeaker v2.01 that's email voice notification
software. When the MailSpeaker is running, it places an icon on the
taskbar, and voice notifies you when you get new emails. It also
performs anti-spam filter functions and more. Free to try for 14 days
at http://www.mailspeaker.com