Go to Site Actions -> Site Settings -> Modify All Site Settings from the top level site of the site collection for which ExCM - SE delegation features have been activated.  On the Delegation Management menu, click Delegation Mail Definitions.

 Mail definitions allow you to define the subject and body of the e-mails which get sent out by ExCM - SE. 

If you view or edit an e-mail definition, you'll notice that the the mail body is just HTML markup with "tokens" which allow you to customize the message.