How to configure it gm-notify once it's running?

You were real close to the answer. The configure app is located at /usr/bin/gm-notify-config.py

Go to System...Preferences...GMail Notifier Configuration.

I installed my Ubuntu with the below method, and I have installed gm-notify, and ran it from alt-f2, but nothing happens, Is there anything extra that I need to do or install? perhaps I need a particular applet?

I have installed "plasma-widget-message-indicator" for libindicate enabled application
which pidgin shows up in, but nothing for my mail... I must be missing something. here is the install method I used for Ubuntu 11.04 64bit:

Download Minimalist iso, burn/boot/install it: https://help.ubuntu.com/community/Installation/MinimalCD

Ctrl+Alt+F1 once it boots to get to prompt, then login

sudo apt-get update
sudo apt-get install python-software-properties (Adding PPAs)
sudo add-apt-repository ppa:kubuntu-ppa (KDE)
sudo add-apt-repository ppa:ubuntu-x-swat/x-updates (Nvidia drivers)
sudo apt-get update
sudo apt-get install kde-plasma-desktop
sudo apt-get install xorg
sudo apt-get install nvidia-current
sudo apt-get install Moun (KDE package installer similar to synaptic)
sudo apt-get update
sudo reboot

That's it, upon booting you should have a squeeky clean KDE

Also in my KDE menu, if I goto and click on "Applications>Settings>GMail
Notifier Configuration" Nothing happens/loads.