Ensure a mail profile is setup and make a note of its name.
Run the following in Microsoft Query Analyser replacing the mail profile and email address.

USE [msdb]
GO
/*
Credit https://sqljunkieshare.com/2016/08/01/variable-wmi-not-found/ for issue with Variable WMI Not Found on newer versions of SQL Server
*/
EXEC msdb.dbo.sp_set_sqlagent_properties @alert_replace_runtime_tokens = 1
GO
 
USE [msdb]
GO
 
/****** Object:  Job [Mail on login failed: State 5]    Script Date: 29/07/2019 10:40:56 ******/
BEGIN TRANSACTION
DECLARE @ReturnCode INT
SELECT @ReturnCode = 0
/****** Object:  JobCategory [[Uncategorized (Local)]]    Script Date: 29/07/2019 10:40:56 ******/
IF NOT EXISTS (SELECT name FROM msdb.dbo.syscategories WHERE name=N'[Uncategorized (Local)]' AND category_class=1)
BEGIN
EXEC @ReturnCode = msdb.dbo.sp_add_category @class=N'JOB', @type=N'LOCAL', @name=N'[Uncategorized (Local)]'
IF (@@ERROR <> 0 OR @ReturnCode <> 0) GOTO QuitWithRollback
 
END
 
DECLARE @jobId BINARY(16)
EXEC @ReturnCode =  msdb.dbo.sp_add_job @job_name=N'Mail on login failed: State 5', 
              @enabled=1, 
              @notify_level_eventlog=2, 
              @notify_level_email=0, 
              @notify_level_netsend=0, 
              @notify_level_page=0, 
              @delete_level=0, 
              @description=N'Send e-mail on WMI event', 
              @category_name=N'[Uncategorized (Local)]', 
              @owner_login_name=N'sa', @job_id = @jobId OUTPUT
IF (@@ERROR <> 0 OR @ReturnCode <> 0) GOTO QuitWithRollback
/****** Object:  Step [Step 1 - send e-mail]    Script Date: 29/07/2019 10:40:56 ******/
EXEC @ReturnCode = msdb.dbo.sp_add_jobstep @job_id=@jobId, @step_name=N'Step 1 - send e-mail', 
              @step_id=1, 
              @cmdexec_success_code=0, 
              @on_success_action=1, 
              @on_success_step_id=0, 
              @on_fail_action=2, 
              @on_fail_step_id=0, 
              @retry_attempts=0, 
              @retry_interval=0, 
              @os_run_priority=0, @subsystem=N'TSQL', 
              @command=N'DECLARE @msg NVARCHAR(MAX) = ''From job: Login failed for $(ESCAPE_SQUOTE(WMI(LoginName))). Full error message follows:
$(ESCAPE_SQUOTE(WMI(TextData)))''; 
EXEC msdb.dbo.sp_send_dbmail  
              @recipients = ''<email address>'',  
              @profile_name = ''<mail profile>'',  
              @body = @msg,  
              @subject = ''There was a login failed event on $(ESCAPE_SQUOTE(A-SVR)).'';', 
              @database_name=N'msdb', 
              @flags=0
IF (@@ERROR <> 0 OR @ReturnCode <> 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_update_job @job_id = @jobId, @start_step_id = 1
IF (@@ERROR <> 0 OR @ReturnCode <> 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_add_jobserver @job_id = @jobId, @server_name = N'(local)'
IF (@@ERROR <> 0 OR @ReturnCode <> 0) GOTO QuitWithRollback
COMMIT TRANSACTION
GOTO EndSave
QuitWithRollback:
    IF (@@TRANCOUNT > 0) ROLLBACK TRANSACTION
EndSave:
GO