Your phone already automatically alerts you when you have received a message, call, etc... so I am assuming you are asking how to change the sound you hear when you receive an alert, go to Profiles>Advanced>Edit, then select the profile you wish to edit. (Loud, Quiet, etc.)
CrackBerry is in no way Affiliated with BlackBerry. We take pride in our unbiased content, however do occasionally receive free products from vendors that we review or discuss. For more info click here.