I would like to know if there is a way to notify when a file is uplaoded or downloaded in a shared file for all users.

Hi, try checking the "send share notification email" option in the share window.  In file manager, you can find this by going to Tools --> Manage my share.  Double click on the share.  Hope this helps!

Once I cheched this option, where can I find the notifications? I did't receive any email when I upload/download some files.

Thanks in advance 

 it's a pop up message that will appear for the user when a change is made to the share.  The pop up message links to a template email which you can send out using an email client such as MS Outlook.