Elara is right; if you got to your User CP (at the top left of the page), then, down the left hand side of the page are other links. Under the sub-heading of 'Settings and Options' there's a link that says 'Edit Options'. You then just have to check the box to Receive Email Notification of New Private Messages. Oh, don't forget to then go to the bottom of the page to 'save changes'.
and Elara is again correct about the read receipts. I think a box comes up when the person gets a PM asking them to confirm receipt or something like that, although it gives the option to cancel the box too, so is pretty pointless I'm guessing.