There are two or three different types of E-reader messages: logs, which you always have to pick up, e-mails, which are transmitted directly to your reader and play automatically, and maybe a third that I can't recall. I'm pretty sure there's no in-game option to stop e-mails from playing when they're first received. When picking up a log, I think if you drop it on a certain tab/section of your inventory HUD, it'll auto-play (it's been years since I played, though, so I could be wrong about that), but otherwise, you'll have to open your E-reader and select it manually.