Have you read the NEWBIE thread?!?
https://bitcointalk.org/index.php?topic=177133.0"Sent PMs are not saved by default, to change that:
Go to 'Profile'
Click 'Personal Message Options' (left side)
Check the box that says 'Save a copy of each Personal Message in my outbox by default.'
Click 'Change Profile'
It will save messages in your outbox after you send them from now on."