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In general, messages in a story work by offering the audience a fantasy that is enjoyable if and only if they believe certain things, thus encouraging them to believe them. For example, people generally want who they see as the goodguy to be the protagonist of the story, not the antagonist, because you are supposed to root for the protagonist. Novels like The Iron Web try to explicitly leverage this to change a reader's perspective: The Iron Web is a story about benevolent anarchists openly resisting the government with guns; the government eventually collapses and it's a happy ending.
To enjoy this story you'll probably have to root for the anarchists; the story is just designed that way. A reader who is not too closed to the idea would read the book and enjoy rooting for the overthrow of the US government and naturally that will affect how they feel in real life. It may cause them to take a fresh look at the US government and realize that it is in fact the villain in reality too.
Why you should be an anarchist
So how do you create a message? I think there are six main ways. The more you use at once, the stronger the message is; but stronger is not necessarily more powerful, because if you make it too heavy then most people who don't already agree with it might just get annoyed with your blatant preaching and put down the story.