phpBB implements a private messaging system (http://phpbb.com) but it would be difficult to separate that bit from the rest of the functionality.
I don't believe a class exists that implements private messaging exists but you could google around if you think i'm wrong. The reason is that a private messaging would depend a lot on how you've implemented your membership stuff.
From a database and php standpoint the concept is not excessively complicated. You just create a form to enter the message, a database to hold the message, and then you notify members that they have messages.
