Email notification via private message module
Part 1:

The answer to the question "What is the settings to send mail to user using private message?" is like so: these settings can be used to finetune the eMail to the user who received a "Private message", whereas such eMails are like a "notification" that there is a new Private message waiting on the site (and for which that user must head over to the site to actually read/see the private message).

Compare it so the various eMails a newly registered user may receive after a registration request got approved, which also requires such new user to go visit the site to actually start using the user id (to set a new password, etc).

Part 2:

Below is a suggestion to address the 2nd part of your question, which you wrote in these 2 comments:


But when i am creating message "To" I have specified their user name to send mail,instead of that i want to give "ROLE OF USERS" it is possible to send mail by using user role ? ...
I have posted in above pic in place "To" i want to specify my user roles ...in under one role i have 10 users i want sent a mail for all of that users.


The Privatemsg Bulkmail module (for D6) would possibly address your question ... Provided "sending a private message" (instead of "sending an eMail") would be OK for your case. If that's not what you want, then you should not be using the Private message module (that's not what it is for). The rest of my answer below assumes that "sending a private message" would be OK.

There are currently no plans for a D7 version of that module. However, I'd use the integration of the Privatemsg module with Rules instead (make sure to checkout this community docu, and its child pages ...), together with the VBO module.

For more details, refer to the video about Using Rules components with VBO. Possibly you also want to look at the 2 prior videos and/or the 2 subsequent videos (all about Views Bulk Operations), i.e.:


Introducing Views Bulk Operations.
More details about VBO settings.
Using Rules componens with more than one parameter.
Using VBO to load list of objects into Rules.


In this specific case;


use Views bulk operations to create the list of your users to be targeted (in this case a list of users that corresponds to your ROLE OF USERS).
use Rules action "Send a message" (provided by Privatemsg module).


PS: yet another great usage of the Rules module, in this case in combination with the Privatemsg module.