some people play RO a long time, but still don't know that.

well, you're hunting, flywing around, someone PMs you, and this private chatbox here:

appears in the moment you flxwing away or change map.

dammit. whatever the other guy wrote is lost. to prevent this, you can actually set your client to show wehispers in your main chatwindow.
all you have to do is to hit alt-h for your friend list, open the friend setup and unmark all the 3 entries that usually are checkexd by default:

now all whispers will reach you in the main chatwindow: