To send a private message, you can either:
Click "Settings" at the top right of the site and on the left of the screen you will find a box labelled "My Messages" which you will find your Inbox as well as a link to "Send New Message", or
You can click on any member's name on a post and a menu will appear that will give you the option to send a private message to that user.
Once you have clicked to send a PM, you will be presented with some boxes to fill out.
Recipient Users: Enter the member's username you are messaging. As you start to type in the username, member names that match what you are typing will appear below the box you are typing in; you can either continue to type the username or you can select from the box that appears to make sure you have the right member.
Title: This is your subject line. Type what your message is about.
And then you have the text box, or message box. This is where you type your message.
Then you just hit "Submit Message" to send.
You have the same options in this message as you have for regular posts/threads.
Replying to a PM works the same as replying to a thread. The only difference really, is that it automatically quotes what was said, which you can either keep or remove.
A copy of your message will be kept in your "Sent Items" folder under "My Messages" in your settings.
You can also access your inbox through the notifications at the top right of the screen. You will receive notifications when you receive a PM.