I came across one of those tools that makes you think "Why doesn't Microsoft already provide this?". Its called OWANotify and its a system tray mail icon for OWA users.

Using WebDAV, it can check your email account on Exchange 2000 and 2003 mail servers at set intervals and when a new message arrives, you get a pop up similar to the Outlook 2003 notification. Click on the notification and it logs you into OWA (it supports NTLM and FBA authentication). I have been using this for a little over a week now and love it! It is a work in progress and the developer is adding new functionality almost weekly. It is a great tool that I won't ever be without again. I urge you to check it out!

OWANotify - Outlook Web Access Tray Notification