If your Microsoft Outlook 2010 does not display the envelope icon when mail arrives, then you restore this behavior with the help of the following setting.
Open Outlook 2010 and click on the File tab, click Options.
Next, select Mail in the left side navigation pane.
Now in the Message arrival section, click to select the “Show an envelope icon in the taskbar” check box.
Your Microsoft Outlook 2010 will now display the envelope icon/overlay when any mail arrives.
PS: Outlook 2010′s new mail icon is only visible if you use large icons; ie it changes and shows an envelope only if you use large icons.