You can receive e-mail notification that you have received a private message.
Click on Settings at the top right of the page.
Look at the left of the page and click General Settings.
Scroll down the page and select the option called Recieve Email Notification of new Private Messages.
Go to the bottom of the page and click Save Changes.
Make sure you set the filters on your Email account to allow for Emails from WHL and you are all set.