The email alerts are sent from email@example.com so please make sure that the emails coming from the above specified email address don't get marked as spam (junk email). If so please mark it as "Not Spam" (or "Not Junk") to get the alerts in your Inbox folder.
In order to receive the alerts on your Yahoo Messenger ID the account alert_no_reply must be added in your contact list and not present in your ignore list. Check following screen shot:
If your Yahoo Messenger is set to allow messages only from your contact list (this is not the Yahoo Messenger default) please add the above specified ID in your contact list.
In order to receive alerts on your MSN Messenger (Windows Live Messenger) ID the account firstname.lastname@example.org must be first added to your contacts list.
To receive alerts using your Skype ID the account alert-no-reply must be first added to your contact list. This is not necessary if you have the Skype privacy options set to allow messages from people outside your contact list (not recommended), like in the following screen shot: