Click on the gear looking icon at the top right, a drop down menu appears, Edit Profile, Public Profile, Inbox...
As far as any sort of notification, I haven't had a PM yet either, so I don't know.
If you actually mean Instant Message, which you said and not PM, then it looks like you have to set it up in your profile and I imagine you would get notification from the Instant Messenger service you use.
Lawrenceville, GA