This short but quick guide will show you how to enable popup-PM notifications so you don't have to look everytime you get one. Also since it wasn't enabled when you first registered.
Steps:
1) Settings
(you need an account to see links)
2) General Settings
(you need an account to see links)
3) Scroll down to Private Messaging
4) Find New Private Message Notification Pop-up
5) Enable Show New Private Message Notification Pop-up.
And you're done! Enjoy getting popup PM's!