It is known as "Starting a Conversation".
If you have a post in front of you with the screen name of the person you want to converse with, just click on that name and you will see a screen which offers "Start a Conversation" as a link. Click on it and you will see the screen name you clicked on in the "Participants" box. Scroll down and put your message in the message box, scroll down below that box and click on the "Start a Conversation" link there.
If you want to add more people to the same conversation, add their screen names (separated by commas) to the Participants box.
If you don't have a handy post from the person you seek to converse with in front of you, go up to the "Inbox" link at the top right and hover your cursor over it. Click on that. You will need to fill in the Screen Name of your correspondent, but it will help you if you start typing the first letters. After that, it is the same as I already described.
Don't click the "Lock Conversation" box if you want a reply. And if you want the conversation to remain under your control, you may wish to avoid clicking the box that allows others to invite other people in.
Hope this helps.