You just click on their name and that will take you to their wall where you can message them. It's ok to ask these type of questions That's how we learn.😊
I can't find the reply button either. I usually just go to the person who left me a message and answer them on their wall. That's the only way I can figure out how to respond to a message left on my wall.
Just send your own PM to that person on their wall, clicking their avatar will take you there. Be sure to select "private message" if that's what you want.