Click on your user name in the upper right, and then click on the third option on the left, Contact Options. You will then see Messaging Preferences, which has a drop down box. Check the box that says "Accept Conversations From" and choose "Members Only". If you also want to get an email when somebody sends you a Private Message, check that box as well.
Hope that helps, if you still have trouble let us know. When you do get a PM a red box will appear at the top right, next to your user name, above "Inbox" with the number of PMs that you have received that have not yet been viewed.
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