The Personal Message (PM) system is a way for members to communicate with each other through the Message Board. It works like email, but you can only send/receive messages through the board itself. It is usually quicker though. The PM system is also used for reporting posts, and it is possible to be banned from the PM system as well.
A similar message system can be found on the main site, which does essentially the same thing. The only major difference is that you can receive a message in regards to how well your submitted content is doing as well, a feature not needed on the forums.