If you scroll down (or go to the main page) you will see a point 'messages'. That is what you are searching for.

PMs are only enabled for current members.

It's mostly a security feature.

If the forums ever blow up too much we may change that, but I think for the current environment it works fine (you can easily exchange skype names in the open threads for example).

The next forum feature upgrade will be notifications (hopefully within a week). The blog section is also going to be changed (just needs to be migrated for the most part). Trying to attack some of the weaker points on the site in the first quarter/half of 2012.