there are steps that you need to take before you setup alerts on sql agent for them to work.

1. setup database mail - http://blog.sqlauthority.com/2008/08/23/sql-server-2008-configure-database-mail-send-email-from-sql-database/

2. setup an operator to send alerts - http://www.mssqltips.com/sqlservertip/1523/how-to-setup-sql-server-alerts-and-email-operator-notifications/

3. create the sql agent job that will send you alerts (unless one is already setup go under notifications and setup your opertator)

4. create the notification alert on the sql agent job - http://msdn.microsoft.com/en-us/library/ms190038.aspx