A PM is a Private Message. Click "User CP" on the far left near the top of the page. Then you should see a huge list of warnings you've received over the years (no wait, that's just me). On the left hand side you should see a list of links called "Your Control Panel". Click the sub-section called "Settings and Options", you should find a link that says "Edit Options". Click that and it will show your Options.
You should see this:
Private Messaging
This forum features a private messaging system, which allows members to send messages to one another privately.
If you do not want to send or receive private messages, you may disable the private messaging system.
[_] Enable Private Messaging
Click the [_] to enable private messaging.
When you see the little bubble under my profile turn green, private message me and I'll trade you the monsters. Darkrai got ev trained by someone else while I was waiting for you to come online, but Torkoal (level 1) and Beldum (level 5) are both available for ev training now and if you ev train the both of them, I'll give you a free Darkrai, just because I'm nice like that. Welcome to smogon, home of the nerds.