Something like this??? (PM)
 

Is there some way I can have something like this:

Username has just sent you a new pm at time on date

On the top of each page
With this linking to the new pm

Once the user checks it, it disappears.

With each new pm, this will update.
Maybe the message can relate to the latest unread pm or something

Is this hard to do?

:paranoid:

It is not hard in any way, however it will add one query per page if you'd not utilize somehow current IM Support (PM popup).

Something like this?:
https://vborg.vbsupport.ru/showthrea...threadid=35607

Well, not exactly, for that, the link just turns a different color

Maybe something like this:
https://vborg.vbsupport.ru/showthrea...threadid=37427

But with this text:
Username has just sent you a new pm at time on date

example
Koutaru has just sent you a new pm at 6:20 PM Today