Chan,
Log in as your user>>my prefrences>>set email notificaitons to "Immediately".
Log out.
Log in as another user>> add first user to friends or send him PM.
Wait until your Cron runs or run it manually.
Check first user's email.
If you don't receive any email then follow steps listed here:
http://www.oxwall.org/forum/topic/10502
>> I have never received any email notifications when member commented or liked from my oxwall ?
Are you expecting to receive email as site admin about any activity that is happening on your site? If yes, this is not going to happen.
You will receive only those notifications that are specified under your preferences>>email notifications.