Open somebody's profile and press Message, or go straight to the messenger from your own name in the header.
A conversation can have more than two people in it, and you can add somebody later. 🚨 Anybody added can read what was said before they arrived. That is the honest behaviour rather than a surprise — a conversation somebody joins halfway through with no history is one they cannot follow — but it is worth knowing before you add a third person to a frank exchange.
Leaving a conversation stops it appearing for you. What you already wrote stays visible to the people still in it.