I don't think that works any more. You have to go to your profile, then "Friends" then "Invite" and invite them to be your friend. if they accept, you can then message each other. you can put your initial message in the Friend Invitation.
Once more privacy settings are added to allow users the option to receive PMs from 'non-friends', the PM system will be opened up further. In the meantime I'm afraid you'll have to befriend anyone you want to PM.
The extra privacy settings have now been added, so if you wish to allow 'non-friends' to private message you, you can change your Message Privacy Settings here:
You can now, if the user has allowed non-friends to send them pms. For all new users this is the case by default, but for older users this permission for non-friends needs to be set at this address: