Adding onto what Raw said:
If you click on the oval button that says 'Local', a list of different chats appear. Local (White chat) is used for only people who are near you;
General (Light green chat) is used to chat with everyone in the map you're in (Ex. Bonfire, Fluorite Plains, Ficho Tunnel, etc.);
Group (Dark/neon green chat) is used if you are in a group of some sort. It will only let you chat amongst the members of said group;
Party (Yellow chat) is used in a party (which is basically a temporary group). This chat is most likely to leak, meaning anyone will be able to hear you, but it's meant to only let people in your party hear you.;
Whisper (Blue chat) is the only private chat that's guaranteed not to leak. If you type in the person who you'd like to whisper's username into the small rectangular box above the chat box, you'll be able to privately talk with one person.
Another thing is the small arrow to the right of the chat box. A list should appear with all the types of chats next to it. You can uncheck chats you don't want to hear and recheck them if you'd like them to reappear.
Last is getting rid of that pesky orange arrival chat. If you click 'Esc' key and then 'Options', scroll down to 'Arrival Chat Name Type' and click 'Don't Show'. The arrivals should stop appearing and leave your chat in peace.
Hope I helped some :3 If you need more clarification, feel free to ask.
Good luck!