Left click on the user name in a thread and click on Private Message. It will open a compose message window with user name in the To address bar. You just put title / subject and type the body and send.
Alternately User CP -> send new message (at left side). Type in the user name (it will suggest you and you can select the intended one from list)
If still it does not work then check if your PMs are ON.
UserCP > General Settings (again on the left hand side under My Account setting) and see if PM is set to ON.
Hope this works for you.