I had to make something like this, the top answer on this stackoverflow question is very thorough about the database design you should be making - asp.net - thread messaging system database schema design - Stack Overflow - I recommend following it. It is how I set mine up and it works very nicely.
After you correctly design your database, now it’s juts up to using your GUI to allow users to send messages to threads etc. But imo the database design of doing something like this is critical to get right or you will be in for a bad time at some point.