Direct messages are a way to target a specific person or persons you want to include in a conversation. All messages reside in your Inbox.
Go to your inbox
Your inbox can be accessed by clicking on the inbox icon that appears to the left of your avatar.
Or, go directly to the inbox by URL: community.canvasLMS.com/inbox
Go to a user's profile
You can also navigate to an individual's profile and select Send direct message from the Actions dropdown on the page.
Click on 'Send Message'
Type in the name(s), subject and message