If you know the username of the user who sent the private message, then it's quite easy. Just go to physicsoverflow.org/message/User+name, replacing "User name" with the username of the sender.
I'm surprised, though, that there was no link in the email. Could you forward it to admin at physicsoverflow dot org, so the issue could be debugged? Please remember to cut out the content of the message, obviously (and the identity of the sender).