Solution
1. Connect to SEPM
2. Go to "Monitors"
3. Go to "Notifications" tab
4. Click on "Notification Conditions" button at the bottom of the console
5. Click on "Add..." and select "Client Security Alert"
6. In the top of the new window, specify condition name, filtering settings (optional) and outbreak type
7. Check "Application Control Events"
8. Specify condition and damper settings
9. Check "Send email to:" and type email address to use
10. Validate

NOTE: more details available regarding each setting by clicking on "Help" button at the bottom of the window