For future reference, click the tab up top that says "profile", then under "modify profile" click "personal message option" and make sure you check the box that says "Show a popup when you receive new messages?" then your PM's will just pop up in a new screen and you can go from there.
Thanks spidernat. I went out and checked my profile and that box was already checked ... I don't recall getting a pop up, though I may have. When you sent me the notification in this thread, I checked my AOL box and had the message. I don't know what happened after that so I responded in this thread. Plus, it gave Chief something to do