Hmmm, I think I know what you might be talking about Snowths. The way it works now, at least from my own experiences, versus how it used to work before...
Hi Snowths... I might be able to explain a bit...
Before, if you had your account settings to make a pop-up window appear everytime you received a new PM, you would get the pop-up alerting you of said new message.
(In fact, this still is the case now).
Then, if you clicked on the "OK" button to open the pop-up window, you had to click "OK" to confirm the PM's receipt and then you'd be taken to the message itself.
However, this has changed in new updated versionsof the forum. If you have more than one new PM awaiting, or you click on the "OK" button to receive the message, you'll get the pop-up to go to your PM inbox instead of going to the message itself.
Maybe this is what you're experiencing. So here's what I do in hopes it'll work for you too.
When you get the pop-up window alerting you of a new message, click the "OK" button to read the message. This'll bring up a second pop-up message asking you to confirm the receipt. Just press Escape and you'll be taken to your inbox where you can view the messages accumulated there.
LMK if this works and have a good day.