When you support a project by pledging or donating you will be able to leave a comment on the project page. This can be done at the time you make your payment or afterwards.
To comment on a project after you have pledged go to the relevant project page and click on the comments tab. You can type your message in the "post a comment" box, click the blue submit my comment to publish it on the page.
You can find a list of all the projects you have supported in your my pledges page, just click on the project link to go to the project's page.
Please note: Comments can not be left anonymously. If you have pledged anonymously your name will still show against any comment you make.