New Mail Icon in System Tray

This question was asked before but I don’t think it was answered properly so I’ll ask again. Typically, a small envelope appears in the System Tray when a user has a new, unopened item (usually a message) in Outlook. If you put your cursor on it, it says You have new unopened items. This is not the same thing as new mail notification in Tools | Options | E-Mail Options. I have a few users that do not get this icon when new mail arrives and I can’t figure out why. I’ve searched MS KB and google with no results. Does anyone know how to turn this feature on?