Actually, it's not something easily done from SQL Server and probably should not be. It should be done from Windows. Here's a link about setting up such alerts from Windows.

http://www.windowsnetworking.com/articles-tutorials/windows-2003/Windows_2003_Performance_Monitor.html

If you insist on doing such a thing from SQL Server, you can try incorporating one of the following into a job.

SELECT instance_name

,[CPU%] = SUM(CASE WHEN counter_name = 'CPU usage %' THEN cntr_value*100.0 ELSE 0.0 END)

/ SUM(CASE WHEN counter_name = 'CPU usage % base' THEN cntr_value ELSE 1.0 END)

FROM sys.dm_os_performance_counters

WHERE object_name = 'SQLServer:Resource Pool Stats'

AND counter_name IN ('CPU usage %','CPU usage % base')

GROUP BY instance_name

;

EXEC xp_CmdShell 'wmic cpu get loadpercentage'

;

EXEC xp_CmdShell 'typeperf "\processor(_Total)\% Processor Time" -SC 1 -y';

Keep in mind that those last two methods are "instantaneous values".