Quick suggestion for this great place: Private Message Alert Notifications
I just happened to click on my profile and found I had a private message from 10 days ago that I had no idea was there before now. It would be a nice feature if there were some sort of alert or notification at the top of the page that told us we had a private message.
SkinyUte is correct. You will see this icon (pic below). ALSO you should recieve an EMAIL notification that you have a message. If you didn’t, check your spam and make sure your email provider is not blocking mail from the site.