Ummm yes ... it's under the errr sent messages heading in the My Messages area.
Seriously, If you click on My Messages there should be a series of headings down the left of the screen ... you may be in a different view though. Look to the left and click on Messages this will open up the rest of the options. Shout if it don't and I'll have another look see.
There's one extra little step required though, you have to tell the system to save your sent PMs. This can be done at the time of sending the PM, but it's easier if you just set your profile to save them automatically.