You are probably used to send PM (Private Messages) to other members. In XenForo this is called a "Conversation". You can open a Conversation with one member, by clicking on his profile picture (member card will open) and then clicking "Start a conversation". Or you can view a member's profile and then view the Information Tab from where you can "Start a conversation". Or you can start a new conversation with one or more members (and check your existing conversations) by clicking the envelope icon next to your username in the right-hand side of the header.