I'm going to pin this temporarily, since most of the users here won't be familiar with the way this forum software works. Rather than private messages, Vanilla uses a 'whisper' system.

To send a message to someone, put their username in the 'Whisper' field and send the message as normal. The post will display in the thread, but with a grey background. If you are replying to a whisper, click 'whisper back' and the user's name will automatically be added to the whisper field. Replies to you will show with a pink background.

Whispers are only visible to you and the recipient, and enable you to send private messages in context.