A couple of times I've recieved pm's but am unable to reply or to send my own.
When I click on the icon I get a double, audible sound "do doop"
Is there something I need to do to make this function workable?

Sounds like your browser is blocking scripted windows or pop ups. What browser are you using? Do you have a pop-up blocker?

Internet explorer. YesI have pop-up blocker.