PUH...if you are logged in, at the top right of the site there is a box titled "Dialogs"...this is the same as the old PM notice. If you have an unread PM it will show a number in the box, just click on it and it should take you to your messages.
If you are not signed in there is a box in the same area that says sign in, once you do that the Dialogs box appears. Hope that gets you to where you want to be.