You have a setting in your control panel to automatically save sent items and at the bottom of each PM you send there's a button you can check that says something like, 'save a copy to my sent items folder'. If neither of these are done you wont have a saved copy. There's no guarantee either of the above methods will work, either. Checking the button has always worked for me when I remember to do it. If the person answers you back your message will usually be there, quoted in the reply to you.