Not being able to test right now, but if you setup a outlook profile for that shared mailbox, login, setup the alert you want (maybe get it to send a email to your proper account, whatever u want really).
So in more detail no XP Pro:
Start->Control Panel->Mail->Show Profiles->Add->"A Name"->Add New account->Fill in the usual details->Finish
Don't foret to switch on Select at startup which profile you want to run:
Start->Control Panel->Mail->Show Profiles->Select the Radio Button for "Prompt for a profile to be used"
Next time you start outlook it will ask you for the profile, pick your shared email account. Setup the alerts you want, log back in with your own account and thats it, i think
From the top of my head right now, but roughly right I think (also depends how your exchange and shared boxes are setup)
Hope it helps.