If you've already turned on notifications for email under PC Settings then as ctitanic mentioned you need to check within the mail app. By default the app is set to only notify when you receive mail from a favorite contact. To turn on notifications for all messages:
Start Mail
Open the Charms Bar > Settings > Accounts
Select the account you wish to receive notifications on (notifications are set on a per account basis)
Scroll down to 'Show email notifications' and change to 'All email'.
Hope this helps.