Even when you are part of a group conversation, you can privately respond to another individual.
Click the Inbox link.
Select the conversation.
Locate the individual you want to send a private message to. Hover your mouse under the time stamp until you see the Reply icon.
Type a message in the message field [1]. When you are finished, click the Send button [2].
The message will send to the person in the To field and not to everyone else. If you want to reply to everyone, click the settings icon and select reply-all. Or use the reply-all button in the toolbar.