How do you transfer message?

Do you mean you want to transfer messages from your phone to PC or HDD?

If so, you need to ask for help from a third-party tool.

If your phone is Android based, you can try Coolmuster Android Backup Manager, its free backup feature can help you do that easily via USB cable connecting.

If your phone is iphone, iTunes and email can help you do that easily.

Hope this will be your help.