What exactly does this mean? I've gotten this message a dozen times when I post a question and not once have I ever been contacted by anyone! I've checked my messages.
You will find Private Messages (PM) showing up at the top right side of the page next to your username (it will have a number next to it with the number of pm's you have). (see below image)
when you click on your name a colum will show up ... see second image - if you click on the envelope you will be directed to your incoming PM's.
Hope this helps.