[Konstantinos]

pawn Код:

// Global variable
new
    Last_PM_From[ MAX_PLAYERS ]
;

// OnPlayerConnect
Last_PM_From[ playerid ] = -1;

// Command
if( Last_PM_From[ playerid ] == -1 ) return SendClientMessage( playerid, -1, "You did not recieve any PM to reply back!" );
if( Last_PM_From[ playerid ] == INVALID_PLAYER_ID ) return SendClientMessage( playerid, -1, "That player is not online anymore!" );
// code...
SendClientMessage( ast_PM_From[ playerid ], color_here, message_here );

Oh and when you recieve a message, assign to the variable the id of the player.