Yes, you can if you saved the message when you sent it
SMGS -> RE: PMs (12/22/2010 1:43:17)
You can check your sent PMs in the Sent folder in your Inbox. The folder is located in the left side of your web page, under 'PM Folders' In the Sent Folder, you would only see messages which you chose to keep a copy of before sending the message.