Hi @becsbuddy
To see if you have any private messages, check the envelope icon at the top of the page. If you have a message, it will have a red number on it. If you are viewing Connect on a phone or mobile device, you can check "Messages" in the main menu. See the image below.

When someone sends you a private message, you should receive an email notification with the subject line:
@username sent you a private message "title of the private message"