The first time you sign in to Messenger, it will prompt if you want to enable desktop notifications, clicking Allow on the prompt will set them up. If you missed the prompt or still aren't seeing notifications there are some steps that can help troubleshoot this:
Messenger settings
Facebook has some steps to follow to ensure notifications are enabled in this help article under the Desktop (messenger.com) section
Wavebox settings
- Open a new tab and paste the following into the address bar wavebox://settings/content/all
- Locate messenger.com and press the trash icon to remove site settings
- Reload messenger and when prompted if you want show notifications, click Allow