Open a diagram (one of: Communication, Analysis, Interaction Overview, Object, Activity or StateMachine).
Add an Association relationship between each pair of objects that communicate.
Right-click on an Association to display the context menu.
Select the option to add a Message from one object to the other.
When the 'Message Properties' dialog displays, type in a name and any other required details.
The Message is added, connected to the Association and Object instances.
Move the Message to the required position.