You can either go to your profile OR click the "Private Messages" link found at the top of any page. Once there, you'll find a "Send New Message" link in the menu box on the right.
Click on the Send New Messages link and you'll be take to a new message to compose.
At the top of the new message, there is a text area to enter a user name. If you know their exact name, enter it, if you only know a part of theur username, enter that and waut a moment, the server will offer a list of similar user names to select from.
Then compose your mesage and click "send"!