Is there any way to send messgae to someone i connected to his wireless network?

"If you can see the other computer, you may use the Net Send Command :

net send name_of_user_or_computer message_text

EDIT

In Vista or Windows 7, the ""net send"" command can be replaced by msg.exe:

msg * /server:other-computer ""message_text""

See this article: MSG.EXE replaces Net Send in Windows Vista."