Go to the name of the person you wish to PM. So, for example, if you wanted to PM me, you would go to the top left corner of the screen, where it says Aliceacc. Click on that, then go down to "send a personal message."
As far as keeping up with your thread subscriptions, on the top left hand corner of your screen, in a navy blue bar, there's "User CP" Hitting that should give you any new responses to any thread to which you've subscribed.