You have numerous ways to be notified of new messages. Through your telephone, you will hear a stutter dial tone (short, quick tones) and/or your message waiting indicator light on your phone will be on. Note: this requires your telephone to provide this function.
Additionally, you can establish (through the Internet) notification via email, SMS (text messaging for cellular/mobile phones) and/or alphanumeric pager. See Message Notification under Visual Voice mailbox.