Every page that is not itself a talk page, has (potentially) an associated talk page in the corresponding talk namespace (see below).
Talk pages are used to discuss changes to the corresponding page. User talk pages are used to leave messages for a particular user. "You have new messages" is automatically displayed on all pages that the user views, until he or she views his/her user page.
Contributions are signed; for a convenient way, see Help:Automatic conversion of wikitext.
When discussing the name of the page or discussing merging it with another page, always mention the current page name: after renaming (moving) a page with its talk page, references to "this page name" would not make sense.
This also works on other than talk pages, there is only no link for that, one has to use the url, e.g. http://meta.wikimedia.org/w/wiki.phtml?title=Sandbox&action=edit§ion=new
Except for special pages, each namespace has an associated talk namespace. The talk namespaces are designated by adding talk: to the normal prefix. For example, the talk namespace associated with the main article namespace has the prefix Talk:, while the talk namespace associated with the user namespace has the prefix User talk:.
See also w:Wikipedia:talk page.