Underneath someone's post there are three links: Reply, Quote, Contact. If you click Contact, you will be given the option to send them a private message. You'll still have to tell them you sent one though, I don't think the Nest/Bump has quite worked out the bugs in their notification system.
Finding PMs: click on My Bump at the top of the page, view My Friends and click the second tab you see - Messages.
Re: Totally random tip: Sending PMs