One other way is at the top of every page is a list that includes FAQ, Search, etc. Click on where it says you have no new messages (if you do have messages it will say you have x messages), this will take you to your Private Message center. From there you can check your inbox, outbox, sent box, and you'll now have a savebox to keep the important messages in.

When you send a message, it will be in your outbox until the recipient opens it, then it moves into your sentbox. 

If you click on profile, you can change a setting so you can have an email sent to you when you have new PM's.

I would highly recommend reading the FAQ section. it has lots of documentation on how to use this forum to it's fullest extent. Of course, I am here to help out too, so let me know if you need any help.