The Settings tab contains two settings regarding private messages:
Allow private messages from
This item on the Options tab lets you choose whom to receive messages from. The options include:
When you click View all in the message list or click a Live Alert, the Inbox appears. The conversations are listed with the newest first. Clicking the conversation displays all the private messages in it. Note that from the Inbox, you can add a conversation by clicking New or delete a conversation with Delete. Reply to the message by clicking Reply.
When you click New or Reply, the enhanced text editor opens for you to create a new conversation or compose a reply.