That stands for "private message". In the top right of the screen under your login name, it says "Private Messages". Rather than start a thread to say something to someone, you can privately send and receive messages.

So, when you login, always check your PM's. If someone has sent you a message, the word "Unread" will be highlighted and there will be a number next to it, indicating how many messages you've received but haven't read.

(This may seem like "old news" to many long-time members, but I've heard from several people that didn't know PM's existed. For example, I sent a PM once. Two years later, he responded with, "I'm really sorry I didn't PM back. I just found out we had them!")

Happy private messaging!