Profile > Modify Profile > Edit Buddies.
From there you can add your buddies. Once you've added buddies they will show in the 'Users Online' section at the bottom of the index if they are online
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As for PM'ing them all at once, I can't see a straightforward way to do that. But you could make a list of your buddies in Notepad or something similar, with the format "buddy", "buddy2", "buddy3" etc, separating each with a comma, and then copy and paste that into the 'To' or 'Bcc' boxes in the PM screen.
HTH
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