I believe you can install a small utility called Gmail Notifier (see Gmail Help) that launches with Windows and notifies you when there are incoming messages, or you can configure Outlook Express and most popular e-mail clients to automatically download e-mails. Basically all you have to do is enable POP 3 messaging on your Gmail account then set up a new account in OE (or your chosen client) and alter a few settings.This would give you two options. Full details can be found at:
http://gmail.google.com/support/bin/answer.py?answer=12103.