Alerts are a feature within SharePoint to automatically notify you about new and/or updated information. Instead of having to keep checking to find out if content has changed, SharePoint will tell you when it happens.
You can create alerts on any list, library or even the results of a search query. For lists and libraries, the Alert option can be found under Actions:
For search results, it depends on how your results page has been configured. But the default settings all include the Alert link:
When creating a new alert, you choose what criteria will trigger an alert and how often you want to receive the alerts.
Check your email address is correct (the alert will automatically be set-up for the user you are logged in as – better use your own account for this! 
– and you’re done. Alerts will start to arrive in your inbox… provided your SharePoint environment has been configured to send email alerts. But that’s down to the IT department to sort out.
To manage all your alerts, there is an option within Outlook 2007*. Within Outlook, go to Tools Rules and Alerts, and click on the Manage Alerts tab. There you will see all your alerts within SharePoint and can delete any you no longer want to receive.
*Haven’t got Outlook 2003 running to check if it’s there too. In SharePoint Server 2003, alerts were managed differently.
Related blog post: SharePoint and RSS versus Alerts