I'd like to thanks one user for some changes he made to one of my question, how can I do it?
I've done it trough the comments, but I'm not sure he will get my answer, am I wrong?
If you use the @-style comment replies, they'll be notified immediately if they are logged in or as soon as they next log in if they are not. See How do @replies work? over on MSO for more. Assuming you are referring to the edit on your first question, you did it exactly right! +1 for that!
You can also check out the user's profile page and see if they have included any contact info. Some folks include email or other contact info there which means it's OK (even expected) for you to contact them that way.
This site is explicitly (and often vehemently!) NOT a social networking site, so there isn't a private message system of any kind.
Comments, answers to questions, and pings in chat generate an alert to the user, via the "Inbox" counter next to the StackExchange link in the upper-left corner as well as the message icon next to their username in the top bar.
The only people with access to out-of-band contact information (i.e.: e-mail address) for users, are "diamond" moderators and site admins.