In your profile are two options:
- Always notify me of replies: (Sends an e-mail when someone replies to a topic you have posted in. This can be changed whenever you post)
- Notify on new Private Message:
These are off and on by default, IIRC (I have turned them both off).
Clobber's bulk folder must be some bizarre Yahoo nonsense. I'd suggest that notification email ending up there was also a Yahoo issue, and not a PNphpBB2 issue.