Like bueller says - there is a box in the upper right.
If you have a PM someone sent you you will have a little "alert" up there next to the inbox.
To send one - click on the "start a new conversation". You will get a screen like this.
As you start typing the "participants" name you should see a pull down type list. Populate the participants list and then populate your message and send!
Maybe your PM's are defaulted to "Off"? Look in your Privacy settings and Contact tabs in your profile and make sure the settings for "Conversations" are set to accept and send them from/to at least "Members".
I've tried turning a bunch of things on and off in my preferences but no matter what I do the upper right corner stays the same. bueller....inbox....alerts....logout