If you're clicking User CP (the teal bar), then choosing List Messages (found in the Private Messages section of the options list on the left), you should see any messages in your Inbox listed on the right. If you're in CurlTalk or your UserCP, there's a pink Private Messages link on the right, above the teal bar that takes you to your private messages list as well. It's below the "Welcome, ___" and "You last visited: ___" lines.
When you click a private message to view it, you should see a Quick Reply box underneath the message itself. This works similarly to hitting the Quick Reply button (
)or using the Quick Reply box at the bottom of each page in a CurlTalk thread. You should be able to reply directly from that box if you want to send just a short reply and don't mind the reduced options.
Clicking the Go Advanced button should take you to a new page with full options for your reply. You should see a preview section at the top. Upon arrival it will only have the previous message content (because you've not yet written anything) with your siggy (if you've set one) at the bottom. Next section should be the Send New Private Message section, with recipients, title, and a message box. The name of the person you're replying to should already be in the recipients section, and you shouldn't need to do anything there. You should see the content of the message you're replying to in the message box. Other than the recipients box, the Send New Private Message section should look and work similarly to the Reply to Thread section when replying to a thread in CurlTalk.
There is a limit on the number of characters allowed in any given message, 5000 characters, I think, and that includes your message plus any previous content. If you click the Preview Message button and your message is too long, you should get an error message stating that. It's been a while since I sent a pm, but I believe you get a similar error message if you're over the character limit and you skip previewing and just click the Send Message button.