If you go into your PM box under the Rules, folders & setting
section at the top[ of that page you can set up rules similar to email filters. For example if the PM is from a specific person you could just have it deleted, move it to a specific PM box etc..
If you haven't set up any filters then it will say this:
1. No rules defined.
My question is if anyone else is getting this message and you also have "no rules defined" because if you haven't defined any rules you shouldn't get this message.