There's no built-in way to do this on an ongoing basis, according to Microsoft.
You can set an individual chat window to "stay on top" which doesn't exactly do what you request.. and doesn't last once the window is closed.
Or you can slightly improve the contrast of the window flashing. http://social.technet.microsoft.com/Forums/en-US/w7itprogeneral/thread/38ed53f4-753c-411d-8f88-e661daebd145
I'm trying to keep the user window on top, which should let me see which users have pending notifications next to their names.