OK, first you need to open your PM dialog, if you have no messages that's what it says. That opens the message box that sort of looks like a post, select new topic and all you have to do is add the name of the person you're sending it to and type your message. I know it's a hassle but it's actually a better way of not getting SPAMMED from people who don't need to be here.
Hope that helps.
Hope that helps.