Current alerts will pop-up in the lower right corner of your desktop. To access the relevant alert information, click on the alert and the alert record will open and can be dealt with, no matter what module you might currently be working in.
You can review specific alerts in the Alerts module. The Alerts grid is shown by default at the bottom of your screen (but can be hidden or shown; choose View ยป Alerts), or you can view Alerts at any time from the Shortcuts bar on the left.