It's just through your email. Here's how it works:
1. Someone PM's you with a message.
2. BPL sends you an email that contains the message and a link. Delete this email and the message is gone forever.
3. You read the message and click the link to open up a webpage where you type in your reply and click "send". If you want a copy of your reply, copy/paste it somewhere to your PC before you click "send"!
One thing I often do out of habit -- I read the email and hit "reply" instead of clicking the link! This sends your reply to BPL instead of to the hiker/sender! "Fortunately", BPL will bounce your reply back with another email to let you know you made an error.
BPL's PM system is definitely screwy.