Reddit doesn't have the ability to email you whenever you get orangered. However, you can accomplish the same thing using third-party RSS⇒email services.
step 1 — get the desired RSS feed
Go here, and find the desired RSS feed(s).
"unread messages" is a good one.
step 2 — set up an RSS⇒email service
There are various RSS⇒email services out there. Choose one, and give it your RSS URL.