To "have a conversation with someone" means to talk with someone. If you "talk to" someone, you might just ask a few questions or make small talk. But when you "have a conversation with" someone, it means that you talk for a long time about something interesting.

Here are some different ways to use "conversation". You can use it by itself:

We had a good conversation at the party.

Or you can say who you talked with:

I had a good conversation with Sarah at the party.

You can also say what you talked about:

I had a good conversation with Karen at the party about why she's moving to Boston.