There are 2 levels of inbound message notifications: Account & Campaign
Account Level
If you want it activated for the entire account go to Messaging > Mobile Settings > and click the Configure button for the type of notification you want to receive (Email or Text).
Campaign Level
If you want it activated for a specific campaign go to Messaging > Mobile Campaigns > Edit the Campaign > Go to the Advanced Settings > and click the Configure button for the type of notification you want to receive (Email or Text).