Some time back, Mark Zuckerberg announced the "Modern Messaging System" which will allow users to have a unified “Social Inbox” for your email, chat, Facebook messages, IM and SMS, along with consolidated history for each contact. Well, this has been named "The New Messages". 'The New Messages' seems interesting and will prove to be Facebook's key feature in future.
Facebook's rolling out the new Messages to everyone gradually, so you should see steps to upgrade soon.
In some time... we all would be having an "@facebook.com" email ID.
If you want to access the new Messages sooner (Who Doesn't?), visit the Learn more page to request an invitation (invitations will be sent pending availability).
This image might give you some idea about The New Messages.
By the way, if you have got access to the new messages, pass it on to your friends...
Click "Invite Friends" at the bottom of your Messages view. The number of remaining invitations you can send will appear in parenthesis next to this link. Note that upgrades may not take effect immediately.