Click + in the top left of the screen and select Direct Chat (Figure 1):
Figure 1 Start a Direct Chat
Type the name of a person you want to chat with then tap on their name. Repeat this step to add more people. Click Create and type your message. (Figure 2):
Figure 2 Add members to create a Direct Chat
You can also search for someone using the Search bar. Hover over their name, and click the Chat button. Type your message and press Enter to send it.