It says that you have this feature turned off. I cannot forcibly turn this feature on for you.
Try this:
1. Go to your "User CP" It can be found near the top of this page.
2. Click "Edit Options" on the left side of your screen.
3. About half way down you will see this.
Save a copy of sent messages in my Sent Items folder by default
4. Make sure your check box is "checked"
See if that works
Send one to me as a test, I don't care
EDIT: are the people you are sending PM's to receiving the message?