Direct messages exist in case you ever want to have a private conversation on Twitter. You can find more information about privacy in the second lesson of this course under Before You Sign Up and Privacy Settings.
Click the gear icon on the top navigation bar, then select Direct messages from the drop-down menu.
Navigating to Direct Messages
The Direct messages window will appear. Click New message.
Creating a new direct message
Start typing the name or user name of the person you want to message. Then select the person you want to message from the drop-down menu. You can only message people who follow you.
Addressing a direct message
Enter your message in the box. Just like regular tweets, direct messages must be 140 characters or less.
Click SendMessage when you're ready.
Sending a direct message
Your message will appear in the Direct messages window. You can also view the entire conversation here when you receive a reply.