From Online Manual
The first two options address how private messages are displayed. If a member chooses All at once, a list of messages is displayed at the top with all of those messages displayed below the list. Selecting One at a time results in only one message being displayed at the top with a list of messages below it. As a conversation mimics the forum functionality, creating a topic-like list of replies. It is highly recommended that a member save their messages in their outbox if they choose to display messages as a conversation. The second option controls the order in which the messages are displayed.