What do you mean by a signed message?
Refer to this for a tutorial of how to sign a message. In short
One of the more advanced features of the encryption algorithm used by the Bitcoin protocol is a means to digitally sign an arbitrary message with the private key from a specific address. This allows one to prove ownership of a bitcoin address without disclosing the private key. The signature that is generated can then be used to verify that the message was indeed generated by a specific address.