Hi Willy,
I took a look at my Windows Live 2012 version and so far as I could see this is not an option in Windows Live Mail.
I did some reading online and it seems there may be a third party utility that can access Windows Live Mail which you can use that gives its own notifications. Personally though, I'd not be comfortable recommending such an action - I do not like the idea of some non Microsoft product having permissions to access my Mailbox.
Regards,
Regedit32