I was going to comment on this yesterday but too much to do at work... and ghost got to it already
But I was going to say that it opens in random location but once you drag it to a spot you like and close it there, next time when you receive a message the "pm gump" will open in the last spot where it was closed.
For example my [c gump opens all the way in the bottom left corner where your UO map is and my pm's appear in the middle of the screen when opened.
****For the gump to permanently open in one location you might need to open it, close it, then completely exit UO and reopen it to save the configuration where ever it's stored.. haven't tested it yet as it hasn't bugged me but if just closing the gump and opening it won't do it try the above