When you get a PM on FlyerTalk, you should get a little popup window telling you so. Maybe there's currently already a setting that turns this on/off, but I don't recall (and don't have the time at the moment to look).
I believe it's been suggested before to get notifications of when you're quoted, but I can't seem to find the thread(s) right now where it was suggested (and a search for "quote" doesn't work). I'll see if I can locate it/them and put it here.
Edit to add: Found it -
http://www.flyertalk.com/forum/techn...eplies-me.html