Select the Messages tab at the bottom of your screen > then click the pencil icon in the corner ✏️ > from there, you can select one or more individuals who you'd like to chat with.

Once you select at least one person, the chat bubble in the corner of your screen will highlight and you will see your selected members at the top of the screen.

When you have selected one of or all members you want to communicate with, just click chat and a new Direct Message screen will appear.