If you don't know what all the bells and whistles do, then my first suggestion would be for you to click the FAQ link located at the top left of any page, in the blue navigation bar. I would have expected someone who preaches about the importance of FAQs to have thought of this already.

I looked at the section on Private Messaging and it tells you top to bottom how to send a PM to someone, even without clicking on their user name. It also discusses the message tracking system and how it works.

The manual is available, but you have to crack it open and read it.