Hi!
You have to be a member for 20 days in order to PM other members. I checked and you joined on January 4 so your 20 days should be up today or tomorrow, depending on how the system counts. Give it a day or two and you should see the PM option when you click on a member's name. There isn't anything to set up.
If you're still having problems in a few days, you can contact a mod by going to Annoucements and Forum Help at the top of the forum page and posting there.