You can't. As you have discovered, Outlook does not support notifications on shared mailboxes.
There are two options for you at this point, either monitor the number of unread emails (by adding that mailbox to your Favorites, where it will be more obvious) or use an add-in to monitor the Inbox or other subfolders of the shared mailbox. I (*ahem*) happen to have one for this very purpose at
http://www.SperrySoftware.com/Outloo...ok-Folders.asp, and it will either give you a desktop popup warning or simply send you (or anyone else) an email letting you know that there's a new email there.
Hope this helps.
Mike Sperry
http://www.SperrySoftware.com
Find 37 Outlook add-ins that can make a difference!