It may have something to do with the email client which one are you using?
Mine seems to work fine in Outlook 2010.
Are you using the default "New Mail Notification" sound or are you using a custom sound that you may have created?
Outlook 2010 is a part of the Microsoft Office Suite 2010 but can also be pruchased seperately but at $100 plus U.S. dollars I wouldn't spend the bucks because my sound wasn't playing. I'm relatively certain that we can figure out the problem.