Copy and paste the ruby script from here into a new plain text document, and save it wherever you wish, as whatever you wish.
currently it points to "redditmessagealert" with no file extension directly under your home directory, this can of course be changed.
insert your username/password where indicated.
by default it will only give a text-based notification on the desktop if there is a message, otherwise it will be blank, it checks every fifteen minutes.
feel free to tinker and play around :)
[note] I did not make the ruby script.