After selecting an option and tapping OK, you'll see a brief screen as the Visor updates the module with your changes.  The only thing missing is the option to preview the alerts.  I had to send myself a message to hear what it sounded like.  When a message comes in, press the module's hardware button to turn off the alert.  Most of the alerts are quite loud and long, so there shouldn't be any problems with not hearing them.

Another helpful option is Setup | Quiet Time, where you can select what hours you don't want to be disturbed by any alerts.

The @ctiveLink application also lets you view details on the module (Options | Module Information), such as serial number, software version, and AAA battery and internal battery voltage.  You may as well leave the @ctiveLink on all the time, as the battery meter barely dipped in the week and a half I reviewed it.  The @ctiveLink application remains on the Visor even when the @ctiveLink module has been removed.

BeamLink

The application that you will use the most with the @ctiveLink module is the BeamLink application, which allows you to send/receive wireless messages to any email address or compatible pager numbers.  When you run BeamLink, a list of messages from the current folder are displayed.  Here I have the Inbox listed.  Tap the folder name (Inbox) at the top right to change among your folders.