Erm.. I am new to this too... But if you click on the name of the person you want to send a PM to and select, Send a private message to this person and you should get a textbox come up.. Write your PM and submit it..
The sent PM will appear in you private message sent items page.. You will see if you have new messages if you look into the top right corner of the screen and you should see the word "unread" with either a 0 or a 1,2,3 etc if you have new PM's from anyone.. I am sending you both PM's now.
HTH
SL