If you want to "PM" someone, click on their name. It will take you to the person's personal info page. On this page there is a button on the bottom right that says "send private message". That's all there is to it!

Or, click on "Messages" that is at the top middle of the screen. It will take you to your In and Out box for private messages sent through ST. I'm going to PM you just so you can see it in action.