You can either manually click on the "new messages" link at the top of any page, next to the Log Out button (it will showing zero or the number of unread PMs waiting for you) - or, click on the My Account link next to it and have the system tell you as one arrives.
That's: My Account -> Board Preferences and in there, select "yes" the "Notify me on new private messages" option - and the other stuff there, as you please.
I think it's active by default so maybe no-one's sent a PM yet. ![Wink :wink:](./images/smilies/icon_wink.gif)
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Giraffe: a ruminant with a view.