Sometimes you might have to delete a message, it happens to me sometimes

i agree with Tadie's Thorn and TTL1234
and if it says 1 New PM then you click on it
and then it says you have 101 messages you then need to delete a few so you can see your message

When it says: 1 new PM! click on it (as you said) and click on the first one on the list (or the only one) If it says 1 new PM! and nothing is there, its most likely a glitch or something like that..

The message isn't going to pop up as soon as you click it. There will be a list of all the messages you've gotten on the site and you look at the top one of those and click that.
But then, sometimes, after you've gotten a message and already read it, it stays there for a small while.