Bring up the profile of the person you want to message. Click on the "Message" button.

Fill in the subject. Fill in the body of the message. Once you're done, click "Send Message". When your message has been sent you will be returned to the person's profile and you'll see the notification "You have successfully sent SCREENNAME a message."

You can also message someone directly from your Favorites list. Click on the "Message" button to the left of the red X.