Missing little things can be a big pain as well like missing the new mail envelope in the Notification Area*.Here are two steps which will most likely resolve that issue

Make sure the option is still selected

Tools-> Options-> tab Preferences-> button E-mail Options…-> button Advanced E-mail Options…-> option Show an envelope in the notification area

Make sure the envelope isn’t hidden in the Notification Area

When you are using Windows XP unused and inactive icons in the Notification Area are automatically hidden. You can either expand the Notification Area to see the unused icons or configure the Notification Area to always show the envelope. To customize the Notification area;

1. Start-> Control Panel-> Taskbar and Start Menu-> button Customize…
2. Find the envelope and click on the dropdown list and configure it from “Hide when inactive” to “Always show”
3. Press OK twice to close the open windows

*The Notification Area in Windows XP is what the System tray is in previous versions of Windows