When you go to your inbox there's four links at the top, click which one you want.
1. Inbox, which will not be underlined because you are viewing it. This contains new messages.
2. Sentbox, copies of the PM's you have sent that people have read.
3. Outbox, which is PM's you have sent but the recipient has not viewed.
4. Savebox, which is where you can put PM's you have received or sent want to keep.
Each box can contain up to 50 messages, once it hits 50 the oldest message will go to PM heaven.
You can save or delete messages by putting a check mark next to it in the very last column labeled mark then hit the appropriate button on the bottom, either save or delete.
So to answer your question whether a message is archived or not if you didn't save it depends on how many PM's you have or sent. There's a another thread down from here where i pointed out they will be automatically deleted after the amount reaches a certain threshhold.