Okay, to be notified of PMs, go to UserCP/Settings & Options/Edit Options. About halfway down the page, there will be a box to check if you want notification of PMs via email.
Subscribing to a thread - go into the thread. At the top of the thread, there will be something that says Thread Tools. Click that and a dropdown box comes down. Click Subscribe to Thread. You will then be taken to a screen where you can set up how often to notify you, etc.
HTH
