If you click on the person’s avatar (in the upper left of any reply)… You have the option to message them directly (called a PM, or ‘private message’).
Also, on occasion, folks might PM you (they initiate the message) and you’ll see a green dot (like an indicator light on a cell phone) inside of your name/icon on the upper right of your browser, which denotes that you have a PM waiting to be viewed.
You can get to a PM a few ways. The easiest of which is to click on your name icon in the upper right, then select the “reply” (or notification) that links directly to the message. The other way is to click your name icon, then click the little envelope icon directly under it (before you even look further down to see the replies/likes notifications). Clicking the envelope will take you to all of your pm’s. Both read, or unread. =)