I've had a couple people tell me they didn't realize they had a personal message (PM) because they didn't know where to look.
If you look up from this post to the line across the page that starts with "Home" in red and ends with "Logout" you'll see "My Messages ." If there is a little number in brackets (E.g., (1) ) it means someone has sent you a PM. Just click on it and read your message(s). Replying is quite straightforward, just follow the prompts.