First click " Private message" ... Located at the top right corner of your screen
2. Then on the left side of your screen click "edit options"
3. Scroll down to the place where it has subscriptions and set it to "instant email notifications" If you want email notifications and it will also list them in your "user cp" ..If you want them just to show up in your "user cp" set it to "no email notifications"
4. scroll to bottom and click "save changes"