Assuming you are already inside the visual editor for your page, to create an Action Message you first need to click on theSettings Iconand thenConversion toolsas shown in the picture down below.
The second stepis to check the "Enable Page overlay" option, yourthird stepconfigures the trigger for the page overlay, e.g. on a visit, each time the page is loaded,first-time visit only, once a day, once per browsing session or on Exit intent. Yourfourth stepis to configure after what amount of time you want your Action Message to display when it has been triggered. And finally, its time to create your page overlay