Private Messaging (PM) is the Newgrounds.com internal mail system. Anyone with an account can send a message to anyone else on the site via the contact form or links on user pages.
You have a combined two megs of data shared between your inbox and sentbox.
You can toggle between anyone being able to PM you or only give friends the option to PM you, via the Options link in the PM header bar.
You can also block specific users so that they may not PM you.