Welcome to the world of PMs. There isn't much to them. You can't include pictures for example. But they are good for quick and dirty exchanges between you and others.
I assume you found the "Private Message" clicky in the upper right hand portion of the screen. That takes you to the "Private Messages in Folder" screen. Note that following the "Private Messages in Folder" text it says "Inbox" followed by an upside down triangle. This indicates there are other "folders" specifically a "Sent" one. That is where your sent replies are stored. Let's ignore the Sent" folder for now.
Apparently you found the PM and opened it. It should have looked something like this.
There are two ways to respond. The quickest and easiest is to type your reply text after the original text (delineated by the "
[QUOTE]....
[/QUOTE]" tags. Then click on the "Submit" box (circled in red) to send the Reply.
The other option is to click on the blue "Reply" button pointed to by the red arrow. That will take you to a more full function edit screen (much like what you can use when editing a post) that appears like this.
Once again you type your text, with the options to resize and color it, and then you can either "Preview Message" (to ensure it looks like you wanted) or "Submit Message" to ship it off.
There isn't too much to mess up using PMs. If you have further questions or confusion let me know and I will try to help.