I’ve looked online for this and got confused rather than informed.
"Click the Messages link on the left side of your home page." – There isn’t one. There’s a Messenger link, but that seems to be a whole different animal, and the rest of the instructions don’t fit.
"Click the messages icon in the navigation bar…There you see a link with the words Send a new message." – No you don’t. A box pops up that tells me we’re friends on facebook and are connected on Messenger. I can type a message into it. However, I can’t for the life of me find a way to SEND that message.
Because of your confusey face I’ll assume you are asking a question. Facebook modified their PM model a while back to separate out messaging to a separate application. This is a separate app on mobile platforms and messaging from within the FB app is no longer supported. It is not separate on the full web site interface used on a desktop machine (which applies to a netbook).