There are a fewl ways to check your private messages. 

If you're on the main WA site, click on the "New Messages" link above the WA logo at the top of the page.  It shows you how many new private messages you've received since you last checked it.

If you're on the forums, click on the "New Message" link a couple of lines below the WA logo at the top of the forums.  It also shows you how many new private messages you've received.

If you haven't changed your settings, you will also receive an email letting you know you've received a new private message.  Click on the link in the email and it will take you to your forum inbox.

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