Via a user's proflie:
Pretty much anywhere you see someone's user name, you can click on it and get their 'profile card' (pictured above). Just click on the "Start a Conversation" link to send them a message. You can also send a message via their full profile:
You can also click on the "Contact" button on a person's posts:
and finally, you can send a message to anyone (or multiple people) in your user account drop down menu:
and clicking on the "Start a new conversation" button:
In the next screen you can type in the recipients of the message, and you'll get an auto-suggestion list as you type. You can send the same message to multiple recipients by separating their names with commas.
Give the conversation a title, write your message, and you're done! For more information about the conversations system, see the related help guide.