How do you say 'Are you having a private conversation' in french?

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est-ce que tu as une conversation en privé

How do you say you are having fun in french?

The most basic translation is "Je m'amuse." There are other possibilities depending on the context, but this one will always communicate your basic idea. :-)
In English to French

How do you say we are having in french?

It depends on the context: We are having Lunch would be: Nous mangeons le dinner The correct way would be: We are eating lunch If you say: We are having pain: it would be: No