sp_add_notification must be run from the msdb database.
SQL Server Management Studio provides an easy, graphical way to manage the entire alerting system. Using Management Studio is the recommended way to configure your alert infrastructure.
To send a notification in response to an alert, you must first configure SQL Server Agent to send mail. For more information, see SQL Server Agent Mail.
If a failure occurs when sending an e-mail message or pager notification, the failure is reported in the SQL Server Agent service error log.