From what I understand people would really like some kind of pop-up screen or something like that, that informs them (on the site) that they have a PM. You should be able to change this in your profiles under say 'User preferences' but if nothings there I'm still going to be looking in the Admin Control Panel for something. So I'm on the case!
~Nyght
Note: If you have already set the option to what you want and you're still not receiving a pop-up window for PMs let me know here. I've been having the same issue with pop-ups coming up so if anyone else is having the same issue let me know.
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"For many are called, but few are chosen" - Matthew 22:14 ver. New American Standard.
"Though my soul is born from darkness, it shall rise in perfect light, I have loved the stars too fondly, to be fearful of the night". Unknown
"On those nights that I gazed upon the full moon in longing it was always you that my heart was calling and it is now I realize you are the one." - me