Select the Persistent Chat window to see all chat rooms that you are following and those groups that you are a member of:
Then click on the + sign to open up the option menu and select Chat Room options:
In the options window, click on Persistent Chat and make sure the options of show me an alert and play this sound are set up as show below. If you want the message open up in a new window, make sure you check the box for that as well.
Another Option is to set message alert individually on each and everyone of the chat rooms that you are in or follow. To do that,
First right click on the chat room that you would like to setup custom alert on:

Show the message in a new window (Immediately opens the chat room window where the message was posted.)
Show me an alert (Flashes an alert in your task bar.)
Play this sound (Plays a distinctive sound. Select a sound from the drop-down menu, or browse to a sound file you want to use for this purpose.)