Thanks folks. Kenswing is spot-on. For now I'll just block that person entirely, since I don't want to add "everyone except that one person" to my contact list (which currently has no one on it). I just wanted to block one person's DMs.
For those of you who don't know the term, it stands for Direct Message. It is synonymous with Private Message, but used more widely throughout the rest of the intranetwebz