Go to your Main Console. (Menu above: Window > Main Console)
Reading your messages:
Type on the command line 'messages'.
Sending a message:
Type on the command line 'message <username> <message>' e.g. 'message Eendje Hi, I like your homepage!'.
Clearing a message:
You can delete a specific message with 'clearmessage 8' and you can delete a range with 'clearmessages 4-10'. You can delete them all with 'clearmessages *' You can delete all messages from Johnny with 'clearmessages johnny'
More information in "help messages"