Visitor Message

I just found a "Visitor message" that I didn't know I had. Someone sent it to me last December. I didn't even know that such a thing existed. I stumbled on it when I clicked "User CP" on the home page. What is the difference between a "Visitor Message" and a PM?

And how would I know I even have one waiting? Actually, now I'm having a hard time even finding it again.

Keith