Honestly, I rarely use the PM feature but basically when somebody sends me something as a Private Message, it shows up in my email.
It also shows up in my 'unread' thing on the top of the page.
I sign on and if somebody has left a message, I can see it says 1 or whatever, rather than 0. so I answer.
If you want to check you're PM's, just click the 'Private Message' link at the top of this page.
If I'm misunderstanding something here, please let me know..