Many have said over time: "I didn't even know I had a PM (Private Message or Personal Message)".
To try and help that situation, here's how to make it more obvious:
Go to your Profile, click on "Personal Message Options" and make sure the settings are as follows:
"Show a popup...?": checked
"Notify by email...": Always
Pop-up blockers may block the pop-up, but you'll at least get an email either way. Using these settings, you should never miss another important message!
You should also always see a number appear beside "My Messages" above if you have a new one.
Let me know if you have any other questions!
Go PTSTATE!