To play devil's advocate - why? What bothers you about someone knowing you're sending a PM to a certain person? (Not trying to invalidate the concern - I'd really like to hear what the issues are, because it doesn't bother me at all for people to know who I'm writing a PM to. It's not like the content of the PM is public.)
If privacy is that big of a concern that you don't want anyone knowing you're conversing, there is always email (although that's not working through the forum right now
) or MSN or something. (Or you could set it in your profile so your status on the board is "hidden" - then people won't see you in the Who's Online list at all.)
