'Just realized I led you astray there. Let me correct those instructions [corrections/changes are in RED):
Click "User CP"........on the left hand side, find "Settings and Options" and, in that area, click on "Edit Options". That will give you a long page of options...the second heading there is "Messaging & Notification", and go to the second section of choices ("Private Messaging") ....make sure that box is checked which says "Enable Private Messaging"....here's what it actually looks like:
If you do not want to send or receive private messages, you may disable the private messaging system.
[box] Enable Private Messaging
Try that.