- you never had any direct correspondence
you have PM'ed the person (not email)
I suppose they can hack into the forum itself and then from there get your IP and hack into your computer?
Most likely this is just internet bravado from someone who is hoping that the other person doesn't know any better. Even if they did hack into the forum software, there still are mountains of other barricades against hacking directly into your computer -- for example, if you use a router this makes it so your IP address isn't even externally available.
The way they could do damage is by getting you to run something malicious. Either by sending you a file that contains some sort of malware or trojan or by getting you to visit a site that loads the software on your computer.
Never going to happen on the grounds that you said.
Even with an IP, it is still VERY unlikely.
Most of the in the wild attacks at the moment rely on third party software such as bugs in Flash - so technically, if someone gives you a link to go to and it has something there, it is possible that you can "get hacked", and they can run code on your machine... but I do think it is unlikely... and if you follow best practices such as having AV and using UAC (on Vista + 7) Damage will be at a minimum.
On top of this, NEVER open, run etc. if anyone you do not trust (and even then be careful) sends you a .exe, .bat, .cmd, .com or any other application or script.
If they can get the person to click a link, or some such thing then it might be possible to do something, but not likely.