There are actually many ways to send a message. You can go directly to the wire, click on 'send' then choose one or more recipients from the drop down menu. You can also go to any user home page or project home page and a link under 'The Wire' will show up indicating some sort of messaging action, click on this do do it. When you search for people or view your connections you will see a link 'Send Message' which when clicked will do the obvious.

Sent message will show up underneath the send message form. Here you can view and delete sent messages.

When you click on 'The Wire' you will be taken to your inbox. Here will be a list of all incoming messages. New messages will be in bold. Click on the message to view it. To the right of every message you have three links that give you the option to rely, forward, or delete the message.