Open includes/email.php and search for this code fragment:
function create_header() {
global $config;
$header = "";
After $header = ""; add the following line:
$header .= "Content-Type: text/html\r\nContent-Transfer-Encoding: 8bit\r\n";
This seems to work for me.
NOTE: You will need to update lang/<your language>/email/admin_email.html with HTML tags.