See also the official documentation:
Help Center > Members Manual > Working with group messages

Replying privately:

Via Email: 

You can reply using the footer, as long as your group is set up to allow this.

Via Group Page: 

You can reply by selecting Private (right side below the message box where you are typing). Again this is dependent on your group's settings.

If you are replying to an emailed message - 

• Click on an email footer to go to the message on your group.
• Type your reply.
• Click on Private. That changes the command so it says reply to sender. Click if you want to BCC'd to yourself.
  
  

Or you can reply to any group member who has permitted their contact info to be in the Directory - left menu. There is a link beside their name.

Your email will have Private inserted in the subject line.

Here is a brief video showing the process: Reply to Individual Instead of Group