You need to enable the Chat feature. For windows go to Tools>Options>Chat & tick the Enable Chat & press the Apply button (for mac osx that's LW Prefs>Chat.) You can also pick up some xtra points here:
http://www.gnutellaforums.com/showth...highlight=chat
To receive a chat message it needs to be enabled (as above) & somebody needs to send you a message. See the above link about how to send a message. Those who have that little smiley sun shows those that have chat enabled.