I’ve tried finding out how to do this a few times in the past as well as being asked by others.  Today I saw someone else asking about this and in double-checking something, I noticed an option that I’d overlooked before which turns out to possibly be the solution…

…at least I think it’s the solution.  I tested it with a new fan page that I’m setting up on Facebook for something, but since I’m not really finished with that page, I only have one fan — myself.  And since I didn’t get the message I sent, I’m assuming that Facebook skips sending the message to the sender.  I’d test it with the other fan page I have for my photography, but don’t want to spam 40 people with a “test” message.

Update: This does not show up as a “Message”, but it’s an “Update”.  In other words, your fans will need to click on Messages, then Updates (highlighted in this screenshot) in order to see what you send.

So… here’s how I think things work, the steps you need to take, and screenshots to help things along.  I’m writing this since the official Facebook Pages Manual does not cover this information.

1. You must be the administrator of the fan page to send an “update” (aka “message”) to all of the fans of that page.
   • If you set the page up, you are the administrator.
   • If you did not, then the person that did set up the page will need to add you as an admin.
     • How to do this will be detailed later.
2. Log in to Facebook or go to the Facebook “Home” page by clicking either on the Facebook logo (upper left) or the Home link (upper right).
3. Along the left side you should see something like this:
4. Click on “Ads and Pages”.
5. You should now see a page that shows what pages you “admin” (administer) which should look something like this:
6. Click on “Edit Page” for the page from which you wish to send an update.
7. This will bring you to the fan page’s edit page, which should look like this:
   
8. In the lower right of the page, just above the admin profile picture, is a section entitled “Promote your page”:
9. Click on the “Send an Update to Fans” link.
10. This brings up a relatively normal looking page for sending a message:
    
11. Clicking on the “(edit)” link or the “Target this update” checkbox will drop in a few options which will allow you to limit the update distribution by location, gender, or age.
    
12. Type update.
13. Attach any videos or links.
14. Click “Send”.

After sending an update, the “Promote your page” section (step #8 above) will look something like this where a new option has been added allowing viewing of all previously send updates.

To add another user as an admin of a fan page:

1. Follow steps 1-7 above
2. In the lower right of the page, is an “Admins” section which (for me) looks like this:
   
3. Click on the “Add” link.
4. This will bring up a listing of your Facebook friends, from which you may choose others who you want to allow the ability to administer the fan page.

Hopefully you found this useful.