A Private Message is a way for just two players to talk. It can be opened by right clicking on a player, on their name in a Channel, on their name in your VIP list, by double left-clicking on their name in VIP or by pressing Ctrl+O and typing their name in the line. The channel can only be opened with a player that exists, even if they are not online. The channel will appear on your console with the name of the player you are talking to. You speak in blue and the other player speaks in cyan, although it will appear the other way to them. Whatever the other player says will also appear above your head in cyan.
See also:Channels, Chat Commands, and Console