Lol... It's really a nice question.. Just laugn not because of your question (which is fair) but because it is strange that the system don't have menu link or dedicated section for private message.
What you can do is, if you remember who sent you PM than go to his account and click on Private Message link. There you will find all conversation with that user.
I know this is not the correct way but what it is for now and hope in future we will get some better navigation for PM. But I am not aware if someone made any plugin for that.