First off, this ONLY works when you have joined a network game via StartNetGame or JoinNetGame and you have created a player via CreateNetPlayer (you must create a player, even if it is just to lurk). You must've received the message already, determined by the RecvNetMsg() command - and probably determined the type of message with (NetMsgType().
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The string value returned from this command is the actual message text that was sent.
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You will use NetMsgType(), NetMsgFrom(), and NetMsgTo() to get other important information from the message and act on it.
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The example requires that you run it on a remote machine while the local computer runs the example in the SendNetMsg command.