You can also look up there in the top right corner, where it says
Your last visited (xxx)
Private messages: unread (x) Total (X)
If you click on the link for your private messages, then on that page, scroll down and along the left side, there's an area that says Subscribed Threads. Clicking on LIST SUBSCRIPTIONS will take you to a page that will list every thread that you've posted in, or subscribed to.