The PM button at the foot of a post is bugged - it will open the PM composition window but doesn't fill in the destination name.
Instead, click on the avatar of the person you want to PM (either on the post you wanted to respond to via PM or on the avatar as displayed anywhere else - it doesn't matter, or the "Profile" button at the foot of a post) and then click on the PM button at the bottom of the next window, under their avatar.
This will open the same PM composition window but this time with the destination name correctly in place.
To locate your lost incoming PM, click on the "New messages" link at the top of every page, next to the Log Out button. (the New Messages link will show a number as required to indicate any unread PMs waiting for you)
The window displayed will default to the Inbox where you should find the PM.
On the left of that screen are links to the various other PM boxes.
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Giraffe: a ruminant with a view.