You may be experiencing any of these issues:

• Your phone's notification does not change even after after you've made changes under Settings > Personalize.
• You do not know how to change your phone's notification settings.

Follow these steps to change your Mail notifications: 

1. Open the Mail application.
2. Tap Menu > Settings > Notification settings to access your different notification options.

If you wish to turn off a notification from appearing entirely, press and hold the notification in the Notification bar, tap App info, and then uncheck Show notifications.

If you drag the Notification bar down, and tap Settings > Personalize you will be greeted with the settings for your display and sound. Changing the Notification or Ringtone sound from here will change the default behavior for your phones notifications. However, these defaults may not apply to all applications.

If you find notifications coming in that don't match your settings, check the application which is sending them.  Follow these steps to change your Messaging or SMS notifications:

1. Open the Messaging or SMS application.
2. Tap the Menu dots on the top right of the screen in the Messages application.
3. Navigate to Settings > Notifications. 
4. Tap Notification sound to change your SMS and MMS configuration.