In order to do Private Messages (called Conversations here), you must have 10 posts. You can head over to the Test Board to post some random posts to up your post count.
http://www.disboards.com/forums/test-board.88/
Then, after a short wait (30-60 minutes) the system will recognize you have achieved that plateau and you can have conversations with others on this thread. To do that, just click on the person's avatar that you want to converse with (and they, also, must have at least 10 posts), and click on "Start a conversation" link in the window that opens. Conversations are private - only visible to those participating in them. You can hold a conversation with up to 20 people at a time.