Click on inbox on the top right, then the conversation you choose to respond to. It works just like a normal post - reply at the bottom in the box. It is made to be identical to making a post, but it is private, therefore making it easier to use and gives you more functionality. Unfortunately, the old PM function was not secure either.
Otherwise, use the "view this conversation" button in the notification email you received. Do not reply to the notification email, as that just sends me an email since the notification is sent from my admin account.