Hi, How do I create/change the message that appears when I initiate a chat?

Thanks!

go to your install directory and then go to lang directory . 
from there choose the language file you are using and change the appropriated tag .
First search for the apprearing words/sentence which are coming on chat initiate , then replace the same with your sentence.

I hope this will be fast and easy for you . 

In future i hope this could be modified from admin panel .