Sorry, with Outlook mail, folders are created (see
How to Create Folders to Organize Mail in Outlook). If you use Gmail, then you create labels (see
Create labels to organize Gmail - Computer - Gmail Help). So, with Outlook, you would move the email to the folder you created. With Gmail, you would click on the "Move to" tab in the top navigation and click the label where you want to save the PM you received.
When a PM is sent to you, you should receive a notice in your email account (Outlook, Gmail, but if a different carrier, sorry, no help from me

.) The Sender of the email will show as "LandzDown Forum" and the subject will show as "New Personal Message". The content of the message will be as follows (edited, of course to remove the actual name/message):
You have just been sent a personal message by "sender's name" on LandzDown Forum.
IMPORTANT: Remember, this is just a notification. Please do not reply to this email.
The message they sent you was:
text of the message
Reply to this Personal Message here: {link to message}
If you use Outlook, move the email notice to the folder you created. For Gmail, move the notice to the Label you created. That way, if there are PMs that you want to save, you won't be limited by the amount of space available in the forum Messages. Unfortunately, that won't work with PMs you send to others.
Hope that helps.