If you want to chat with several friends privately, you can use Chat channel which can be found at the bottom right of the chat panel and the left side of mail button.
There're two ways to select whom you want to send private messages to:
1.Search a player's name. If successful, a chat window will show up;
2. If the player is on your friend list, you can choose the player from the drop-down menu.
After choosing a target, you can start to send messages by typing in the message window. If the player is offline, message won't be sent.
When a private message is sent to you, the button of private message will glitter to alert you. Just click it to see the message.