Like many other X-Cart add-ons, the Messages add-on has its own settings page, which you can access via the Settings link:
At the time of writing, there is just one configuration option available on this page. That one is of value only to multivendor X-Cart stores running in the Warehouse multivendor mode.
You can find more info on this in the Messages add-on: Usage with Multivendor section.
For non-multivendor stores, the only thing that needs to be adjusted before you start messaging with the help of this add-on is the add-on-specific email notifications.
Navigate to the Email Notifications section (Store Setup > Email Notifications) of the store's Admin area to adjust the notifications.
At present, there are two types of notifications for the Messages add-on:
Order message (Messages add-on)
This message is sent to users involved in communication when a new message appears in the communication thread regarding an order. Works if communication is initiated from the page of a specific order.
A store administrator receives notifications on the email address specified in the "Sales department emails" field in the Store Profile.
New message (Messages add-on) This message is sent to users involved in communication when a new message appears in the conversation. Works if communication is initiated from a storefront vendor page without associating to any specific order.
You can find more info on the management of email notifications here.