If you click on the Private Message link at the top right corner, you will see your PM folder. Just below the drop down box (which switches between inbox and sent items) you will see a link to see how many comfirmed and unconfirmed messages. If you click that, it takes you to a page which shows PMs that have been opened (confirmed) on the top and those that are unread (unconfirmed) on the bottom. THat is if you marked the message when you sent it
TO see when they have last been active, go to their profile, it shows on the top right, as "Last Activity"