Where do I have to go to change the settings so that I get instant email notification of replies to posts, rather than 24 hours later?
Technical questions about the site which are not TeX.SX specific, i.e. affect other stackexchange sites as well, are better asked at the general meta site https://meta.stackoverflow.com/. That's the site of the people which provide the web software for us. In fact it was already asked there: Notify more frequently than once a day?
The outline is: You can't and this is by design:
If we make the email too aggressive, it's a substitute for visiting the site, and it kind of destroys the whole community aspect.
Email is for the less urgent stuff where you're busy and don't have time to check the site.
You could install something like StackApplet or you could just obsessively refresh the site every 5 minutes, like I do... (I bet I'm not the only one)