Create a PM as you would do normally.
Under the message box there is a section titled miscellaneous options.
It's the first option and it's called 'Request a read receipt for this message'.
Check it and then click submit message.
Then to check to see if it has been read or not, when you go into your private messages, it will be displayed in a field above all your other messages.
It will read something like, 'you have 0 confirmed messages and 1 unconfirmed message'.
After it is read by the person you sent it to, it will read 'you have 1 confirmed message and 0 unconfirmed messages'.
After it's been confirmed, you can just delete it so that it doesn't take up space in your pm box.
I think you can request a read receipt when composing the PM. You can find details in the FAQ section.
When you send a new personal message, you may have the option to request a read-receipt for that message. This will allow you to check whether or not a message has been read by its recipient by viewing the Personal Message Tracking page.
That is a feature I never knew about! But is it like an email, where the recipient opens it and gets the little box saying that a "read-receipt has been requested and do you wish to send one?"
Could they deny to send one or do they have no choice?