You are in the right place if you are looking in "General Settings".
Under the "Message and Notification" header, set the default subscription mode to "do not subscribe"
This will stop e-mails notifying you of new posts in threads you have posted in.
Under the "Private Messaging" header click the option "do not receive e-mail notification of new private messages"
This will stop e-mails notifying you of new private messages.
Once you have set these scroll to the bottom of the page and click "save changes"
You will also need to go to "My Subscriptions" in "Settings" and delete all existing subscribed threads or you will continue to get e-mails notifying you of posts in those threads.