Hi,
on SAS Management Console, Plug-ins tab, then Application Manageement folder, Configuration Manager plug-in, you can find the SAS Application Infrastructure.
On the Properties, on Settings tab, then Notifications, you can select all your available options for Notifications.
If you make a change here, remember that you might require to restart the Middle tier in order for the new configuration to take effect.
Besides this, on windows you have tools as "msg" and on linux/unix, tools as xmessage. You can google about it a lot 🙂
I hope this can help.