PMs are called 'Conversations' here, and can be found at the very top right hand corner of your screen, indicated by the two overlapping speech bubbles:
Click that symbol bubble and then click the "+" symbol that appears to start a new Conversation:
Once in the New Conversation screen, add a Subject and Participants, and compose the message like you would a post in the forum.
As you type the Participants' names, matching users should appear after the third character. You can then select one from the list, or use the arrow keys and press Enter to insert that username:
Another way to start a Conversation...
If you're in a thread with someone, you can hover your mouse over their username, and you'll see a floating box appear, and in the bottom right hand corner of the box there are some symbols, including a little speech bubble icon. Click on that and you'll be taken to the Conversations page with their name already inserted into the 'Participants' box: