At the bottom of the PM is two selection buttons, Forward or Reply. If you select reply it will setup a reply pane. Type your message and send. It is only viewed by the PM recipient.
Peter, at the bottom of the message there is a quick reply field you can type into also.
The reply is also private and only appears in the receivers inbox and your sent box. Which is accessible via the drop down box above your list of messages.
Trev