Through your profile page, you can set up alerts through your emails about new personal messages on the forum. You can also have the content of the PM sent to you in this email alert.
DO NOT answer the PM using your email software (Outlook, Eudora, Incredimail, etc). Click on the link in the email which takes you to the PM section and answer it from there. That is the only way the sender can get your reply.
If you answer the PM through your email software, the reply goes to the forum administrator as a system message.