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, and you will be able to add your message in the 'Post a comment' box.
You can find a list of all the projects you have supported in your 'My pledges' section.
Please note: Comments can not be left anonymously. If you have pledged anonymously, your name will still show against any comment you make.