The following code sample shows you how to integrate Privatemsg with the Application Toolbar.

/**
 * Implements hook_privatemsg_message_insert().
 *
 * Adds a notification for each recipient when a message is sent.
 */
function yourmodule_privatemsg_message_insert($message) {
  $text = t('!user sent you a private message', array('!user' => theme('username', $message['author'])));
  $alert_type = 'privatemsg-receipt';
  foreach ($message['recipients'] as $recipient) {
    appbar_set_message($text, $alert_type, $recipient->uid);
  }
}

/**
 * Implementation of hook_appbar_id().
 */
function yourmodule_appbar_id() {
  return array(
    'privatemsg-receipt' => t('Privatemsg receipt (alerts recipient)'),
  );
}

More information:
Privatemsg API documentation: http://blog.worldempire.ch/api
Application Toolbar API documentation: http://drupal.org/node/546536#api
Application Toolbar Integration examples: http://drupalcode.org/viewvc/drupal/contributions/modules/appbar/appbar_...