/msg username message
This command allows you to send a private message to another character. When you send a message to someone else:
/msg aguane Do you see that gold??
You will see:
(To aguane): Do you see that gold??
They will see:
(From aguane): Do you see that gold??
If someone sends you a private message and you want to respond to them, you can use either /msg username or you can use /r and it will respond to the last private message that you received.