There are two ways to send private messages. If you are reading someone's public message in a thread, you can click on their name at the top of the message to see their profile. While viewing their profile, there is a link to send them a private message.
If you know you want to send a message to someone, you can also click on their user name anywhere on the site, or on their profile page, and add them to your Friends list. Then, from any page on the boards, click on the Friends link on the upper right corner of the screen, and you'll have a convenient starting point from which to message users, much like an e-mail address book.
Once you've sent a private message you can see a copy of it in your out-box, which can be accessed by clicking on the private messages link in the upper right corner of every page. In the pull-down menu, switch from Inbox to Outbox, and press the Go button. Here you see a listing of every private message you send to other users. Please note: messages will disappear from your out-box when the recipient has deleted the message you sent them and/or after 21 days.
Reminder: You must be a registered user to send a private message.