By default, what you enter in the chat window goes to all the other players. However, you can whisper to another player, or multiple other players by using the recipients selector. Here, I'm going to whisper to Greg and Kara. (Forget Jason and his crazy Bodak Reaver character. Why'd I let him play that anyway?)
This shows up something like this in the chat window.
Your recipients list is saved in that chat tab, so I can have a tab for everyone and a tab for each of my whispered conversations.