Leave it open but minimised to the taskbar. Set it to check for new mail every minute or so and sound a warning. [System sound] or one of your own.
Each time a new mail comes through the Icon on the taskbar will flash on and off with a sound played as well.
There is a little application that will place it in the notification area instead of the taskbar, can't remember where it is at the mo but others will and give you the answer.