When candidates apply to a job, that job's hiring manager gets notified by email. Here's how you can set someone as the hiring manager for a job:
Go to the job whose hiring manager you want to set.
On the top right, you will find a link for "Job Setup". Visit that link, then look for the "Users" link.
Here, you will see a section that says "Hiring Manager". You can choose the hiring manager from the dropdown and your choice will be automatically saved.
Other than the hiring manager, the person responsible for that stage will also get a notification when a candidate applies.