Can you give us a bit more information about what happens?
If you click on Private Messages at the top tight ish of your screen can you see them then?
I am guessing you are blocking the pop up messages that you get when you click to read a new message when it appears in the middle of the screen saying you have a new message
I have just sent a pm , Cancel the pop-up in the center of the screen , and look just above " Chat room " on the tool bar near the top right hand corner . Just above it says Private messages . click on that . Its in red .