A Reply is an answer to a message you've received from someone else. When you are viewing a message you can either click on Reply (or Reply All), or select Reply (or Reply to All) from the Message menu. 

When you Reply, Messenger automatically opens a new message, addresses it to the original sender, and quotes the original message. When you Reply All, the new message is addressed to the original sender and all other recipients of the original message. 

You can edit and add to the original quoted message. It is good practice to only quote the relevent parts of the original message.  This saves the recipient(s) from reading through a long message in order to see your short note at the bottom.

When you have finished composing your message click on the Send button.