Message exchange with textbook RSA
Basically $M = 9$ is a challenge. Alice will have to sign it (compute $M^d \pmod {21})$, because only she knows $d$.
As $(M^e)^d = (M^d)^e = M \pmod{21}$, it should be clear what Bob should do to verify that the reply indeed equals $M^d$, which only Alice could have produced...