Welcome to PC! A VM, contrary to what the person in that thread said, is not the same as a PM. I'm assuming you checked this because it said you had a notification, and said "One new visitor message" when you clicked it. That's exactly what a VM is - a visitor message. It puts your message on their "wall" of sorts, where anyone can see it. A PM, on the other hand, is a Private Message, that only you and the other person can see. They're both forms of contact, but not the same and I thought you would like to know that. (:
To send a VM to someone, just go to their profile, type in the box, and hit "Post Message". To reply to a VM someone sent you, either go to their profile and just send them a VM, or click "See Conversation" below their VM and reply in the box on that page.