Originally posted by adje
Because it is a correspondence site and not made for real-time chess playing.
There are ways though to have pop-ups telling you there is a game waiting. This is done by turning on the e-mail notifications and use a e-mail program that pops-up a message when an e-mail has arrived. Something like that. Maybe there are better ways, search the help forum, it has been asked and answered before.
adje's response is correct but there is also this (still a beta feature):
If you open it when you have no moves, it will popup and tell you when you have a game waiting. Unfortunately it will not refresh if you have multiple moves when you open it.
Russ has also introduced an RSS feed (kinda) which lets you know how many moves are waiting:
but you will need a means of reading this. Someone here did create a reader for it but you need to email him for the program i think (see Thread 46596