If not a new message, either click on "Reply" or the "Switch to Full Reply Screen" button. If new message, go to next step.
You will see options just below where you type your message. Look for the "Add this thread to my Watched Topics" and click on its selection box
You also need to have your Profile preferences set to receive notifications: My Stuff > Edit Profile > Make sure your using a valid email address and ensure your email is not putting the messages in a spam folder