For a list of options and commands you can execute, right-click within the top half of the message window. The command options vary per-medium but are usually comparable to the "real" clients for each medium. For example, right-click in an ICQ message window has options for "Ignore" and "Establish SecureIM Session" while MSN has "Block" and "Invite User to conversation...".
There are other options available from right-clicking in the bottom half of the message window. Those menu options are the same for each medium and allow the font to be formatted, copying and pasting, clearing of the text, and attachment to a container (either existing, recent, or new) or to the desktop.
Many of the same menu options are available in the menu bar or toolbars in the message window. Menu bars and toolbars vary per skin but right-click options are always available.
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