Is there anything like a PM (Private Message) that you can send to another member here?
If not, is there any other way to talk to another member without using a regular thread?
Yes, but you have to have a certain number of posts before its available, and you have to enable it in your profile.
Most posts are encouraged to be made in a thread, so that the community as a whole can benefit from the questions and responses. As a matter of fact, some members will not start a dialog in PM and may move the conversation into a thread.