By default, all files have a text box at the right of the page that can be used to make comments on the file. You can switch this off on a per-file basis by clicking the Actions button in the player, clicking Edit Metadata and then deselecting Allow Comments.
Note: Files in your private storage area cannot be commented upon.
To make a comment, first select the comment text box, which you can do by either clicking it or pressing M or Enter while the player is selected.
If a video or audio file is in the player, playback will pause to allow you to make the comment and resume again afterward. You can switch this off by going to Actions > Playback Settings.
To assign the comment a color, select it from the dropdown menu below the text box. This color will be respected in some editing applications (currently Avid, DaVinci Resolve and FCP 7) and can also be used for filtering the comments, so you could setup a color-coding scheme whereby audio notes are green and video notes are blue and then separate the two colors so that you have separate notes for picture and sound.
Press Enter to submit the comment. It will appear immediately below the comment box, tagged with the timecode position you began typing at if it is a video or audio file. Clicking the comment takes you to that position within the file.
To reply to a comment, click the arrow icon at the bottom right of the comment. You can then enter a reply in the main text field and make use of all of the options there including color coding and adding annotations.