1. Go to "User CP" above right below the ads.

2. Then on the left hand column, go to "Edit Options" under the Setting & Options" sub category.

3. Then go to "Messaging & Notification" and check off (if you want)

The forum can send a message to your email address to inform you when someone sends you a private message.
- Receive Email Notification of New Private Messages

If you are browsing the forums when you receive a new private message, the system can pop-up a notification box informing you of the new message.
- Show New Private Message Notification Pop-up

4. Then scroll down and click the "Save Changes" button.

Hope this helps, I prefer the pop-up and email notification, as I infrequently get PM's, and often notice them two months later....