There is. You have to set the alert to on. Go to Tools on messenger and the options. Go to Alerts & Sounds in this section and set the options you want.
"5029" - there isn't an alert IN hotmail (i.e. the website), but there is a way of having Messenger (as I've demonstrated and doubtless millions around the globe employ) alert you to messages sent to hotmail.
Do we agree with this much so far?