There are a couple of ways.
1. Click on the handle of the person you want to PM. One of the options that you'll see is Start a Conversation (that's what the PMs are called here). Click on that and just start typing and the message will be delivered to that person's Inbox.
2. You can click on the Inbox (top, right of your screen) and then click on Start a New Conversation (blue bar in the upper right hand part of your screen). If you start typing someone's handle into the To box, you'll be prompted to select the right one, like most e-mail programs.
Just a note - be sure to look at the options below your message. There's one that prohibits the addressee from responding to your message - don't click on that if you'd like the person to get back to you. You can include up to 5 people in the Conversation.