In order to start conversations you must have 10 posts, that is what this is for.
For the Inbox (Private Message) option (called Conversations here), you (and anyone you want to communicate with this way) must have at least 10 posts. That would be yours (and everyone else's) primary target right now.
Then, you can start a conversation by either clicking on one person's avatar that you want to converse with or hovering over your "inbox" then click on "Start a conversation". You can converse with up to 20 people at once.