Under each person's post at the bottom left you will see;
Profile, PM, Email,
To send a PM to Dave, for instance, find a message from him then click on the PM button at the bottom of his post. When he replies, you will see at the top of the page where it has Home, Gallery, Guidelines etc it will say You Have 1 New Message. Click on that and it will show you the PM Dave has sent you.
I will send you a PM to show you. Keep an eye on the top of the page for it to change when the page refreshes.