Welcome! When you are in the main lobby, where the page shows all the different Forums, Click on "inbox". This will then show you any PM's that may have been sent to you.
Like Joey said, when you log in and the next main page up ALL the Forums. At the top left edge of this main page, if you see a small RED FLAG, then you have a PM (private message) from someone. Look over to the right and up for the words INBOX and click on it and there is your message.
Or you can just click on the red flag. Getting rid of the flag after you've read the message is something else. Sometimes it goes away and sometimes it doesn't. The reset button doesn't always work. fatrooster.