Installing the module

The private message module comes with a custom 'Private Message Inbox' block that must be enabled in order to provide an interface for users to access their private messages. Note that if you are using the Bartik[*] theme, this block is enabled upon module install, so you will not need to enable this block.

If you are using a theme other than Bartik, navigate to Admin -> Structure -> Block Layout (/admin/structure/block). Choose the region you want the inbox to appear on, click 'Place Block' for that region, and select the 'Private Message Inbox' block.

Optional

The module comes with a notification block, indicating the number of unread threads since the user last visited the private message page. If you are using a theme other than Bartik, this block needs to be manually installed, and can be done so by navigating to Admin -> Structure -> Block Layout (/admin/structure/block), then choosing the region you want the inbox to appear on, clicking 'Place Block' for that region, and select the 'Private Message Notification' block.

If you want a link to "Send private message" directly from an user's account page:
Navigate to Admin ->  Configuration -> People -> Account settings -> Manage Display (/admin/config/people/accounts/display)  then drag and drop "Private message thread link" (private_message_link) from the disabled section up to where you want the link to display.

[*] = "Bartik was the default theme for Drupal 7. 8 and 9. In Drupal 10, you won't find Bartik anymore, replaced by Olivero."