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Yes, I too have struggled with the new way that private messages now open. The advantage to the new system of course is that you are able to use the full message editor when writing a PM. The disadvatage to the new system is as you describe, there is no clear way to return to the place you just came from.
The usage tip is this: make it a habit to open all links in a new window by holding the SHIFT (both IE and FF) key as you click the link. I was already doing this for links that appear in posts (I open every link posted). It took me a bit to get used to the idea shift-clicking the PM link as well, but it does make the issue quite workable.
I'll file an enhancement request related to this thread, but since this is not a bug, it won't be categorized as a bug, and it won't flow through the system very quickly. In other words, we may someday see a 'return me' link, but in the short term we will need to find the best way to work with what we have.
Thanks – glad I’m not alone. SHIFT + sounds quicker than RMC so I’ll try and train myself to that.