i think you get a notification thru e-mail that you have a private message. If you have kept your e-mail private for personal reasons, you may not want to reply thru e-mail. But if you come here, check your messages, and reply, you will still remain anonymous if you wish. (I think) Hope that helps.
If it doesn't, Kyle will likely spot this and help you out being he is the guru and all.
P.S. be careful, there are some here who do not show respect with private messages. Be very careful what you say in them regardless.