How can i customize the display of private message module?
If as you say you only want to change the look/theme then you should create a custom theme and override it using custom css rules.

Doing this requires knowledge of css/html and creating a drupal subtheme as modifying an existing theme/module/core is not advisable

Here is tutorial of how to create a custom subtheme 
https://www.drupal.org/docs/7/theming/howto/create-a-new-custom-theme-with-css-alone

NOT RECOMMENDED
If you still want to HACK core/module/theme then in your Chrome/Firefox/Opera/Safari browser just right click on the element that you want to change and use inspect/inspect element or something similar.  There you can see which css rules and in which file influence the display of each element. You can even adjust the visual properties (css rules) of each element and when you are satisfied with the result you should go and change the appropriate files.

Here is a tutorial of how to use the chrome inspector https://developer.chrome.com/devtools but inspectors of other browser should be very similar