A PM is a private message which is only available from this website. If you click on "You have no new messages" you'll find and "in box" "sent box" "out box" and "save box". Click on "new post" and type your message. You can click on someone's name to send them a PM and then their name will automatically be entered in the "to" box, if not you can search for a name.
Once you've typed your message, click "submit" and the message will move to your "out box". Once the message has been collected by the recipient then the message will move to your "sent box". It's not like email, the message isn't sent but sits in your "out box" until it's collected so it can be there for some time if the recipient hasn't been on the forum for a while.
You can save messages to your "save box" by following the instructions.
No one else can see your message and it means that forum members can communicate without divulging email addresses or personal details.
When you have a message a small window will open when you log in saying "you have a new message" and you can also see the message in your icon bar as the "you have no new messages" changes to "you have *** new messages".