Goto User Control Panel
then, > Edit Options, then > scroll down to 'Messaging & Notification':
4.Enable Private Messaging? Allows people to send Private Messages to you ~ yes
5. Send you an email
when you receive a Private Message? ~ yes/no
6. Pop up a box when you receive a Private Message? This will pop up a small warning box when you receive a Private Message asking whether you want to view the message. ~ yes
Iíve been so bold as to embolden my recommended choices.