On any page you go, your avaatr, name, a door for logout and an envelope for messages is there on the top right to your screen.
Click on the "0". It will take you to your inbox
There will be three options; Inbox Sent Compose.
Click on Compose.
Send To ________ (Write Username or Friend's Name)
OR You can go to the person's profile and on the top write it'll be written PRIVATE MESSAGE. you can message from there too ^^