The messages window is a text window near the bottom of the screen. Many commands list their results in the messages window, and minor error messages are reported there.
The text in the messages window can be selected with the cursor and edited with the Cut, Copy, and Paste commands (in menu Edit). You can remove all text with the Clear command (in menu Window / Messages Window). In addition, you can right-click in the messages window to Cut, Copy, Clear, or Paste text.
The text in the messages window can be saved to disk by using the Save Messages... command (in menu Window / Messages Window). You will be prompted for the place to save the text.
You can select the messages window font with the Set Font... command.
The command Tile with Edit Window adjusts the messages window so that it abuts the edit window cleanly.