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.