PPCGeeks - HTC Touch Pro2 (T-Mobile) Threaded Massage View

Hi I have Touch Pro2 from T-Mobile, my problem what is common, when in threaded view for text messages, it alerts me (by vibrate or an alert sound) when I SEND a message. However, when I receive one it does not. How do I fix this? I want it to notify me with a sound and/or vibrate that I have a new unread message in that threaded view from the contact that I am having a conversation with. PLEASE ask me if you do not fully understand my question, and I would be glad to try to explain it a bit better for you. Thank You people.