To react to a specific message in Facebook Messenger, press and hold the message until the reaction bar appears, then choose the emoji you want. On some devices, you may see a small smiley or more options icon instead. The reaction is attached to that one message, so it is easy for the other person to see exactly what you were reacting to.
To reply to a specific message, press and hold that message and choose Reply, or swipe right on the message in some versions of the app. Facebook Messenger will then show the original message quoted above your response, which helps keep the conversation clear when several topics are being discussed at once.
If you are using Messenger on a computer, hover over the message and look for the reaction or reply options near it. If these controls do not appear, the interface may be slightly different depending on the current version of the app or web page, so it can help to look closely at the current page for available options.