Use a combination of the Paintbrush and the Text tools to create a word bubble.
To write the dialog that your character will speak:
> First, select the Text tool, and on the Stage write out something your character will say. Use the Properties window to choose a font style and size.
> Next, move the text next to the character who is speaking the words that will be in the word bubble.
> Then, use the Paintbrush tool to draw a circle around the text.