What santa is stalking about is, next to the field where you type the text. To the left of it is a button you can select which says World. Once you click it you have 4 options, from top to bottom:
Shield - Makes it so you can disable text being shown from Alliance, World or Private when being on the Global tab
Private - When you private message someone you need to be on this tab and start your text with /targetnick or /"target nick" depending on if their name has a space in it. Usually this is done automatic when you click on a persons name in the chat window.
Alliance - Select this to only send a message to your alliance.
World - This is the public chat, which costs 1 horn per message you send. Only option that costs horns!