Private Messages are a great way to contact each other both when online, or just to leave a message for someone later. You'll find the vast majority of messaging options in the link to your left "My inbox". There you will find a list of your current messages in the inbox, the ability to checkmark and delete messages, create new messages, empty the whole box, and create new folders.
I'm going to focus on sending a message. On the "Write a New Message" screen you'll see "To", "Subject", "Message". To is an auto-complete username field. As you start typing who you want to send it to, it'll start giving you options. You may click the proper option when it comes up, or simply finish typing the name.
The rest works just like an e-mail would. It's pretty self explanitory. You can also mail a specific person by navigating to their User Profile. You might get there through the Users link on the left, or through the "Currently Online" links that come up when someone is online. Once on their profile you'll find a "Send Private Message" link which will take you to the "Write a New Message" screen with the "To" box already filled out.
Let me know if you have any questions as always. You can reach me via the contact link.