I cannot find a way of private messaging SO members, is it possible?
You can't. Stack overflow is a Q&A site, not a social network.
Use @Username in a comment if you want to reply to someone already participating in the comment thread. Commenting on someone's post will also notify them.
You can create a chatroom with someone if you have enough reputation.
You can't. If there is something you should be discussing on the site, you can do so publicly. Perhaps it makes sense to go to a chatroom to speak to that user?