When you PM someone or reply to a PM someone sends you, they're considered a "friend". When you PM someone you can add them to your address book (there's a little checkbox below the To/Subject line) and then, when they're online, their avatar will show up (so you know they're online if you want to PM them right then). But if you don't add them to your address book, then you just get a "you have 19 friends" meaning I have PM'd 19 different people at some point in my membership here; I've only added one to my address book.