You can set the number of days in advanced that a user receives a warning about their password expiring using Group Policy.
You will find this setting at: Computer Configuration \ Windows Settings \ Security Settings \ Local Policies \ Security Options \ Interactive Logon: Prompt user to change password before expiration.
Just enable this policy and set the number of days that you want the warnings to begin. This will appear as a pop up balloon. If you are preventing balloon pop ups, the user will not receive notification.
If you do not want to enable balloon notifications, try the logon script located at this site. Make sure you test it before using it in a production environment.