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Messages indicate a flow of information or transition of control between elements. Messages can be used in Timing Diagrams, Sequence Diagrams and Communication Diagrams (but not Interaction Overview diagrams) to reflect system behavior. If between Classes or classifier instances, the associated list of operations is available to specify the event.
Moving a Message can disrupt the organization of other features on the diagram. To avoid this, and move only the Message, press while you move the Message.
OMG UML Specification:
The OMG UML specification (UML Superstructure Specification, v2.1.1, p.491) states:
A Message defines a particular communication between Lifelines of an Interaction.
A Message is a NamedElement that defines one specific kind of communication in an Interaction. A communication can be, for example, raising a signal, invoking an Operation, creating or destroying an Instance. The Message specifies not only the kind of communication given by the dispatching ExecutionSpecification, but also the sender and the receiver.
A Message associates normally two OccurrenceSpecifications - one sending OccurrenceSpecification and one receiving OccurrenceSpecification.