Yes, i receive this message in taskbar but i cannot find any new email in my Local Folders .. strange.
After check on MozillaZine Knowledge Base. I found out that there is one setting that i left out and cause this issue:
My scenarion: I'm using pop mail.
To solve it, go to Tools --> Account Settings ...
Expend the account. Click on Server Settings. Checked/Select Automatically download new messages.
Now i can see my email after receive alert that "Local Folders has 1 new message".