You can use a while loop for that. It's pretty easy too.
It should go something like this:
$query_pms = "SELECT * FROM privatemessages WHERE to='{$to_username}'";
$sql_pms = mysql_query($query_pms);
# Start while loop.
// Note the single equals character in the following line.
while ($row_pms = mysql_fetch_array($sql_pms))
{
# Display list of private messages using the variables in the $row_pms array.
}