You can get to it via your User Control Panel (the "User CP" link toward the upper left of the page, in the blue bar), the control panel has a "Private Messages"section of links on the left edge. Or you can go straight to your messages from the "Quick Links" option over toward the upper right of the page (also in the blue bar), the link is labeled "Private Messages."
Disclaimer: I'm a bit color-blind so the "blue bar" may, in fact, not be blue.
