Select a player from the players list (bottom left corner)
Then click "Chat Selected Player"

A "Chat" box will now appear on your screen. Type in the text line at the bottom and press enter.

The conversation in this box can only be read by you and the player you initiated a chat with.
(The name will be displayed on the banner of the chat box)
 

When at a table, you can initiate a chat by using the

button in the upper right corner or the 'chat' button   in the tool bar above the table.

A colored button with the name will appear

You can now minimize the chatbox while playing

The color of the button will change when you receive any messages while the box is minimized