We don't actually - PM's are exactly what they say - Private Messages.Just received one............Admin. please feel free to do whatever. I haven't opened it - I get a copy of all PM's in my e-mail so I have read it but it's so obvious it's spam.
Naturally, you would have access to my PM in-box
The best advice I can give you is to delete it without opening it, and let us know who the offending member is and we'll ban then (chances are they're already banned).