The easiest way to send a message is to double-click the person's name/icon on your contact list. A message session window will open where you can type your message. Once you are satisfied with the message, click Send.
When you are sent messages, they will appear on your screen in the window you sent them in. If you have closed the window, then an icon will flash in your System Tray indicating that you have a new message. To view the message single click the flashing icon in the System Tray.