Known as PMs elsewhere, private messages are known as Conversations in Xenforo. You can start a Conversation with another member by clicking on their profile. In the box that pops up, you will see a link for "Start a Conversation." Click that. The member whose link you clicked will automatically be included as a recipient, but you can also invite others to join the conversation by entering their names, separating the names with a comma. Any Conversations that you are a part of may also be seen in the right sidebar of the forum. You can also start a Conversation by going to your inbox and typing the member's name.