Profile > Scroll down to the "My Preference" section > Look in the "Private Message" subsection > Uncheck the radio box that says "E-mail notification of new Private Message?"
Womba -> RE: Stop getting emails from P.m's? (12/19/2011 22:14:18)
Within your profile you have a big list of settings and options. Scroll down until you see the bolded words Private Message.
Within those settings there's a box and next to the box are the words... E-mail notification of new Private Message? If you wish to stop recieving e-mails of recieved PM's simply un-check the box.