To leave a message on someones talk page, you must do either two things: If the user has a link on their talk page, then select that, before writing your message. If they don't, then select the Leave Message tab on the Users talk page, on the same row as the edit tab.
You must then write your comment. If it's your first comment, or your starting a subject, then you must title your comment. If you're not, then you don't have to. After typing your message, you must sign it with four tildes (~~~~) next to each other.