Does the site not store PM's anywhere? I got an email saying I had a message but I can't find anything on the site to look at the...so I'm guessing in reality it'snothing more than an anonymous emailing system?

I swear this site seems worse every time I learn something about it...

PMs are indeed just anonymous emails. You send them via your friends list in your profile, which means you can only send them to people that you've added to the list.