I want to be notified immediately by email on any comments or answers given to my questions, or any comments given to answers to my questions. Basically every comment to something related to me.
Is this possible? How?
This is possible, though you need to jump through a couple hoops first. You can get an RSS feed of your activity. You may be able to add an RSS feed to your email client or convert the RSS feed into emails.
See this answer for details on getting the RSS feed.
There are no immediate notifications for anything on StackOverflow. The envelope, inbox, and email notifications are all delayed. The only way to get instant information on the status of your question is to look at it.
Even if you are fine with delayed notifications, the once-per-day email notification at the bottom of each thread is about as good as you are going to get.