That's the easy part, it can be as simple as:
Code:
+-----------------------+
| PrivateMessage |
+-----------------------+
| fromUser [PK][FK] |
| toUser [PK][FK] |
| sentDateTime [PK] |
| message |
+-----------------------+
Where fromUser and toUser are foreign keys to the user table. Then you simply select based on the current user. toUser would be in, and fromUser would be sent.