This was in the FAQ but I haven't been able to figure it out either...

Will I receive notifications when there is activity with my account?
When there is new activity in your feed, you receive a reply from another user, or there is a new transfer in your wallet, you will receive a notification in your account menu. It will show a little red number showing the number of new notifications.
Steemit also allows you to subscribe to receive additional notifications when users mention you in a comment or post.
Currently, there are no options to receive notifications for votes directly on Steemit.com. But, there is a third-party application https://steemstats.com/, developed by @jesta, which has an option to set up additional notifications on your computer.