Place your mouse cursor over your name. Top Right of Screen
Select Conversations.
Start a New Conversation.
Place the recipient/Participants username in the top box
when done
Click Start the conversation
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EDIT: the Conversation requires a Title...
Click on the members name, a grey bow will appear.
Click on the text Start a conversation In the conversation box, give the message a title
Type your message in the message area
Click on the Start a conversation button below the text box.
Just like I have just done to send a message to you.