If Windows XP - Disable your Windows Firewall service or add an exception for the Alarms.exe file (other Insight program files will need to be added as well to prevent other problems). Reboot.
If another OS or above doesn't work - Check your destinations in the System Profile application under the System menu. Make sure the Insight server and any client are in the list and the checkboxes for "Display on Alarms Screen" (or something like that) are checked.