The easiest thing to do when you see friends online and want to chat with them is to send them a PM and ask them to join you in the chat room. PMs show up immediately with the blinking icon, which most people can't miss. As long as they are actually active on the site (the who's online only updates once every few minutes I think), they'll see it, read your pm, and go join you in chat.

And the chat room also supports the creation of private rooms. Once in chat, click on the "Rooms" tab. You can create your own room by clicking New Room, typing the room Name & Topic in the text areas, and then clicking OK. Optionally, you can also enter a password to allow only selected people to enter.