Click the gear icon next to the title of the contact form and you should see the setting for what email address to send the messages to. It also depends on having correct smtp settings in Web.config/user.config in order to be able to send mail.
http://www.mojoportal.com/emailconfiguration.aspx
If no email address is specified or if smtp settings don't work, you can still view the messages. If you are logged as admin or with edit permission you should see a link for "View Messages".
Hope it helps,
Joe