I guess that you have all the options ticked - Alert sound and Show a Notification Message?
Also the Squawk option ticked - yes I know that this is basic stuff, but just checking :-)
Do you have an unusually long list of codes in the Squawk selection box?
Have you got Activate Alerts for Network Flights selected - are they Network flights that are not giving alerts?
Do you have any "spaces" after the code in the alert setting box?
Note that if the aircraft/squawk is already on the screen, you probably won't get an alert until that code is detected next time. - RB doesn't detect the data already showing, it detects it when it appears.
Just a few ideas, I use Alerts extensively and I'm pretty sure that I get an alert every time.