DNN version 6.2.0 introduced social modules within the core framework consisting of a customizable User Registration (in Admin > Site Settings) and modules Journal, Social Groups, Notification and Message Center. By default, the new User Profile page includes a menu for sub pages, where messages, notifications and personal journal reside.

If you are modifying this structure or creating it from scratch for an upgraded webside, you need to take care, that a page placed as a child of the profile page (you have to have the profile on a specific page), which contains the message module, is automatically sensed by the user skin object and made the target of the link for messages or notifications.

You can also read this at:
http://braindice.com/Blog/tabid/97/articleType/ArticleView/articleId/3/Moving-the-messagesnotification-module-to-another-page.aspx