You could also use the extended procedure xp_cmdShell to send the net message.
I use the following command in an Execute SQL task object in my DTS packages and you can create others as well for success of failure. The following command tells me that my package is starting. I also have one the tells me when the DTS package completes. This way I have an idea of how long a package is taking to complete.
exec master..xp_cmdShell 'Net Send myComputerName Import Store Package Starting', NO_output
The only problem with using the xp_cmdShell is that you must have the authority to run the command and a typical user by default does not. You would need to set the access to this extended stored proc to user account that the SQL server Agent is running under. For us it is the administrator account so they do have access to this procedure. Your SQL may be set up differently check with your SQL DBA first.
and on another note this procedure can also run other things and can be used for malicious reasons so be careful when setting the security on this procedure.
Just my two cents