Tony, if you click on the tab at top left "user control panel" the next screen has a red tab about half way down on the left "overview" which produces a drop down box, click on "private messages"
on the next screen you get another pair of red tabs down the left side, click on the "compose message" which will give another drop down box where you can find your "inbox"
they are stored there and can be deleted as required
likewise the sent messages could be checked and deleted if you've done with them
we made a generous allowance for each member even though there is no joining fee (remember where we could only get about 20 messages without paying a subscription
) so although there is a lot of space eventually it'll get full, we have allowed 200 messages per member so should be useable for everyone
hope that helps mate