This article will show you how to configure email alerts for specific events on Microsoft Threat Management Gateway 2010 (TMG 2010).
TMG 2010 offer email alert for every event that can possibly happen on the server.
To create Email Alert Open TMG management -> Monitoring and on the right bottom corner click on Configure Alert Definitions
Select the Alert you want an email to be sent in case it happens , Click on Edit
Go to Actions Tab and Tick Send email, Fill in the all the details and click test.
In order for this to work you will need to configure relay on your Exchange server.
See this article on how to do this: