A Message (previously called a Direct Message) is a private message sent via Twitter to one of your followers. (This is different than mentions and @replies.)
Tip: Make sure that user follows you. You may only send a direct message to your followers.
In addition to sending direct messages from the web, you can also send direct messages from your phone and most 3rd party applications.
Note: If your message is longer than 140 characters and Twitter receives it intact, we will send your message in two parts for you. But, beware: if your service provider breaks up long messages into two parts before sending the message to Twitter, we will only see the d+username attached to the first message! The second part will post to the public time line as a regular update because it doesn't have the d+username preceding it.
If your Twitter account is connected to your phone, you can receive direct message via text message.