It's easy. Go to the top of the page. Select the GO tab. From there, select MY SPACE, then select "Private Messaging". It will display all your private messages.
It will show any messages/replies to/from you. It also allows you to delete messages you started or to remove yourself from message threads you no longer wish to participate in.
Also, you should be getting your messages thru your personal e-mail ... at least that is how I am always alerted.
When you block a person, they can no longer invite you to a private message or post to your profile wall. Replies and comments they make will be collapsed/hidden by default. Finally, you'll never receive email notifications about content they create or likes they designate for your content.
Note: if you proceed, you will no longer be following .