At the very top of this page there are several links ... one of which is Notifications. If you have the "receive notification popup" checked in your profile, new PM's will show below the Notifications link at the top of this page.

When you go to "my stuff", under "My Account" ... click "General Settings" ... scroll down to "Private Messaging" and check the options you want. Then scroll all the way to the bottom and click the "Save Changes" button (if you changed any option designation).