I got to the point where I figured out how to input a message, but what serves as the signature? My forum name, a set of numbers? What should I input on the message? Forgive me, but I have never sent a signed message using this feature.
In your Bitcoin client, double-click the payment transaction, and copy the transaction ID. Visit
http://blockexplorer.com/tx/[your transaction ID]. On that page, copy the top "From address". Enter that in the top field under File->Sign Message.
The program will verify that you own the private key to that address, and generate a signature for the message you typed in, which should include your shipping address.