Rich -
It is a set-up feature. I was not smart enough to understand how to get mine for a few months. Now, like you, I get an e-mail and a pop-up if I am surfing the boards. Maybe some of the people (like one's I sent a PM to over a month ago and still haven't read it) will figure it out.
Maybe we could beg a Moderator to post this somewhere more prominent.
Here is where to set it up and the questions it asks:
The DIS Discussion Forums > User Control Panel For InstImpres > Edit Options
Messaging & Notification
Allow Bulletin Board Administrators and Moderators To Send You Email Notices? yes no
Hide Email Address?
Clicking yes hides your email address in your public profile, so that it is not accessible by other users. yes no
Use 'Email Notification' by default?
Using this option emails you whenever someone replies to a thread that you have participated in. yes no
Enable Private Messaging?
Allows people to send Private Messages to you yes no
Send you an email when you receive a Private Message? yes no
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 no
Hope this helps a few do the set-up and a few more of us to get responses
Sandy