There are a few ways to access them, one being the way retread316 told you and these two ways.
The first one being the main page of the FORUM, at the top of the forum you should have something that looks similar to this:
Click on the Text that says: "Private Messages" and it will take you right to all of your PM's
The second way is doing the same thing at the Main page of the site itself. The top left box also gives you some info at the bottom of that box it says "Private Messages" just click there and BOOM, your at your PM's once again.
This forum is heavily modified and hacked. With a lot of them you will only see in a very few boards.
Just a lil off topic, but one of my favorite hacks is this:
When a forum or thread becomes more then one page, instead of just having the little text numbers to click on its now a graphical number that also changes colors as you hover over them. Simple yes but easier.