Well, just PM'ed Mr. Cue, and, as most of you know, I take computer illiteracy to a new level. Asking me to repair/work on a computer is much akin to asking Helen Keller to direct traffic during rush hour. A VERY bad idea.
Anyway, here, in his own poetic words are his directions for PM's and pop-ups alerting you:
Profile --> Personal Message Options --> [] Show a popup when you receive new messages?
Its a per-user option so the user needs to turn it on.