Is there possibility for exchange 2010 server to send all warnings and error alerts about exchange to my e-mail?

Good Afternoon,

I seriously doubt you want those emails. 

You'll be better of installing SCOM and utilizing its monitoring features. You can see all the errors and warnings in the console and configure alerts and notifications accordingly. 

SCOM 2007 R2

http://www.microsoft.com/en-us/download/details.aspx?id=9524

Exchange 2010 Management Packs for SCOM

http://www.microsoft.com/en-us/download/details.aspx?id=692

I don't think that purchasing a new license for SCOM and spending another 4 gigs of RAM on my server just to enable receiving warning messages from exchange server is a good idea.

Is there another alternative that doesn't cost money and much server resources?

Good Afternoon, I think thousands of admins and companies would disargree with you. This shouldve in place BEFORE the server went into production. SCOM provides much more than send emails for warnings. You might want to rethink this.