Do you want to have Second Life instant messages forwarded to your email address when you're not logged in? Or do you get many IMs and find them spammy? Whatever your choice, you can
^ As that help page explains, you can do it from Account > Contact Information in your secondlife.com Dashboard, which is handy if you're somewhere you can't login to Second Life, or would rather not bother logging in. (I love convenience, don't you?)
While you're at it, you can also change your email address on the same page.