Ok, you first go the main page of the forums. Then you scroll down. You will find the listing of the members that are online. Below that you will see the Private Message notification that you have new messages. Press on the black words "Private Messages" which are in a yellow bar over that notification.
You will be taken to the Private Messaging system where you will see your messages, similarly to emails. Press on the unread one and you will see it. Its kind of like an email system but between members.
Hope that helps!