Some gamers like programs like Roger Wilco or Teamspeak to chat to each other whilst in games.
Others like to use a chat client just to have a conversation over the internet.
The former just requires you to obtain the client and follow the prompts.
The latter requires you get something like MSN Messenger as suggested by sil_ver. You would need to add the person you want to talk to to your friends list, then simply start chatting using the keyboard to bring up the chat window. Options on the right hand side let you set up and do the actual chat.
Obviously there is a little more instruction required but the help supplied with either option should help you get started.