This should do it:
Click "User CP" in the blue menu bar at the top of the page
Scroll down about 3/4 of the way and click on "Edit Options" on the left side
Scroll down just a bit and there is a section called "Messaging and Notification" - under this there is a subsection called "Default Thread Subscription Mode" and there is a drop-down menu. On the drop-down there is an option for "Instant Email Notification".