These are freeware utilities that let you do this in Windows.
CMS Mail Monitor
This program shows the mail sender and lets you enter a selection formula for which mail will trigger popups. It is available here.
There is also a non-free Professional version which is able to monitor any database on any server you like and shows the number of unreads of each database in a window. The demo version is available here.
This is not a freeware utility. It is available from Rein&McBride.
This is freeware, but only runs on Win95. It is available from Polo Sardinaloil's web page.
This is shareware and is available from the WinBiff home page.
Notify for Notes
Checks for new mail, alarms, and allows you to create new messages. From AW Soft.