One of several ways:
1 - Click on a person's name and a drop down menu appears. Go down to SEND A PRIVATE MESSAGE TO ....
2 - Click on a person's name and then on VIEW PUBLIC PROFILE. After that, click on the SEND MESSAGE link and choose SEND A PRIVATE MESSAGE TO ...
3 - Go to your control panel USER CP on the left under MAIN MENU. Then look for SEND NEW MESSAGE. Type the person's name in the Recipients field.