I do it in my ApplicationMediator or via commands. For my system tray menus, I will usually tie them into commands for interaction, and change things like bouncing or icon changes in the ApplicationMediator. I would say you definitely don't want to put this in the MXML. Not that you couldn't, it just fits nicely in a mediator. In addition, I will often mediate the menus for system items (tray and window) because their mediators can get a bit large and clutter up the ApplicationMediator.
http://code.google.com/p/as3notificationlib/I don't know if you are using this, but it is pretty freakin sweet. He has
a number of other libraries posted too.