Often, you need to leave a message for a player who is not currently online, or who is idle or otherwise unable to communicate with you while you are both online. The default way to send a message is to select New Message from the Action tab:
Here are other ways to send messages while online:
All messages currently in your inbox are shown in the dialog, and you can sort them by sender, subject, or date received by clicking on the tabs at the head of each column.
Deleting messages is done with the delete icon at the top of the dialog, and you can create new messages, replies, and forwarded messages with the other three icons, all three of which will bring up the ComposeMessage dialog with the appropriate information already included in the dialog in the case of a reply or forward.
Simply fill in the top text field with the name of who the message is to, type your message in the main text window beneath it, and hit send. Confirmation that your message has been sent will be displayed in your console.