Basically, just click into your User CP (on the options menu near the top of every screen), then from there click Private Messaging (on the right side of the User CP options menu), and that gets you into your PM mailbox. The 'New Message' button, which allows you to compose a new PM, is at the bottom of your mailbox.
Alternatively, you can just click the 'PM' box at the bottom of any post by whomever you wish to PM.