looks like you are using a newer version of mod_dbsetup.asp than they one that came with the Private Messages MOD.
Open up the privatemessages.dbs file that you are using and replace everything in that file with the following:
Private Messages Mod (Default)
[CREATE]
PM
M_ID
M_SUBJECT#varchar (50)#NULL#
M_FROM#int#NULL#
M_TO#int#NULL#
M_SENT#varchar (50)#NULL#
M_MESSAGE#text#NULL#
M_PMCOUNT#varchar (50)#NULL#
M_READ#int#NULL#0
M_MAIL#varchar (50)#NULL#
M_OUTBOX#smallint#NULL#1
[END]
[ALTER]
MEMBERS
ADD#M_PMEMAIL#int#NULL#0
[END]
[ALTER]
MEMBERS
ADD#M_PMRECEIVE#int#NULL#1
[END]