Hi Yuelin. Either can be used interchangably, though there is a slight difference. The phrase 'having a conversation' carries more gravitas, meaning it usually deals with a heavier subject, such as discipline or something unpleasant (ex: Father to son:"We need to have a conversation about the choices you've been making lately, young man." OR boss to subordinate: "We need to discuss the disappointing results of last quarter's productivity goals."). It can also indicate an exchange where both parties are invested and engaged (ex: "Bill and Jane had a wonderful conversation reliving the time they spent together in the Peace Corps.")

The two phrases are very close in meaning, and are largely interchangeable. Talking to someone is very generic, while having a conversation has a slight connotation of somewhat deeper communication. So, for example, you might be a little more hesitant to interrupt, if someone said, "Dad is having a conversation with grandma." Both phrases sound perfectly natural to me.