Unless you clean out the whole thing periodically things may get hosed up, so here is how.
Go to User Cp/ Private Messages
See where it says on the upper left hand corner- Show Messages? Click on the part that says from the beginning then hit go-
Any PM's showing delete them
Where it says Jump to Folder on the right hand side? Go there and
Do the same thing you did initially in each field- In Box/Sent/Message Tracking
You should be okay from there.