Private messages are now called "Dialogs". Up top, you can see the Dialogs link. In parentheses you will see the number of private messages in your message box.
Remember: if you delete a dialog that you created (host), it will be deleted permanently for everyone. If you delete a dialog that someone else created (hosts), the dialog will simply no longer appear in your dialog list.
If you haven't already, you can edit your profile (http://stereo2go.com/notifications) to notify you of all Dialog exchanges via email.
