A PM is a private message. Go to the teal toolbar located on the upper left of this page, click on User CP (control panel), then under the Private Message section click on List Messages. By default, that will list everything in your PM inbox.
Alternately, look under your name at the upper right of this page. Directly under your name, click on Private Messages. You should be showing the number of unread PMs in your mailbox just to the right of Private Messages.
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