Before you can start using the Leads functionality, you must ensure the Leads App is active in your account. You can read more about Leads and how to activate it here.
Also, have a look at previous articles about how to collect leads either manually through the Dashboard, with a form on your website, or by connecting the app to Facebook.
Once you have a few leads created in your account, you can reach out to them via email or SMS by navigating to the Leads section, under Marketing, and clicking "Contact leads". Once there, you will have the option to reach out to them via email or SMS. Fill in the necessary details, as well as the message body, and press Send to communicate with your leads.