Figured it out!
1. Click on Tools > Rules and Alerts
2. Click on the "New Rules..." button under "E-Mail Rules" tab
3. Check "Start from a blank rule", select "Check messages when they arrive" and hit next
4. Check the last check box of the list : "on this machine only" and press next
5. Check the last check box of the list : "display a desktop alert"
6. Click Finished
7. Have a good time watching your sorted emails.