I'm not absolutely sure what is happening, but I belive (on top of enabling Private Messaging, of course) you go to
"User control panel"
"Edit profile"
"Optional info" (2nd big box from top)
and fill in those addresses if you have one in the category.
ICQ Number:
AIM Screen Name:
MSN Messenger Handle:
Yahoo! Messenger Handle:
I've also seen people place their addresses in their signatures.