The easiest way, if you're already logged in:
At the bottom of the main page, below the list of "Currently Active Users", you will see (in white letters on the blue background) "Private Messages". Click on that. You should be taken to a list of your received private messages. You can then use the "jump to folder" at the upper right to get to messages that you have sent, or other folders.
If you're not logged in:
Click on "PROFILE" near the top of the main page. You will be prompted to log in. Then you can click on Private Messages from the profile page, without going back to the main page.