PM stands for Private Message, which is a message you send to someone that only you and the recipient can see. You can access your private messages via the "Private Message Inbox" button in the "Messages" drop down menu next to "Notifications" and "Me." Receiving an infraction, warning or emblem will send you an automated private message, but they are more commonly used for private conversations between two or more users. If you wish, you can have notifications for PMs appear as a pop-up on your screen. You can change this anytime under "Options" in your User CP along with a number of other settings.