Click on the member's name. Start a Conversation; it is not a PM any longer.
To clarify ever so slightly on this reply, the term "PM" or "Private Message" is not used on the forum. It is superseded by a "Conversation" between as few as two members. When people say "send me a PM," they mean "start a private conversation with me."
So, as Falcon correctly says, if you click on a members name, one of the choices is to "Start a Conversation." Clicking on this opens the private conversation dialog window. You can invite as few as one, or some unknown greater number of members to join in the conversation.
On the forum, and if I understand this correctly, all posts are conversations. If they are posted in the public conversation area - such as this one - all persons can see and reply. However, if they are conversations started from the link (as Falcon says) on the member's private / profile page, the conversation can only be seen by the persons named at the top. However, you still get notified if "you have mail..." - if someone has replied to your private conversation.
When starting a conversation, be mindful of the two option boxes to tick - or not - at the bottom of the message window. They affect privacy. However, I have never ticked them. The default settings are fine by me.
I hope this helps.