You can privately Message specific Players from their Profile pages, and view History between the two of you by clicking on the Recent Message History link on a specific Private Message in your Inbox.

Keep in mind that there is a limit of 120 messages visible in each Player's history, so if you or a friend receives that amount over a few days for example, any messages beyond that won't be visible in the history. This can result in situations where you can see your friends' responses to you in the recent History (because you received less than 120 messages since they sent them) but your messages to them aren't there because they received more than 120 since you messaged them last.

Friends can be messaged freely, but when contacting anyone else you are restricted to combinations of pre-built phrases.