You need to know about layers, the Magic wand tool and the Text tool. You can learn these directly in Photoshop using the Beginners tutorials.
Your example is a good first start.
First double-click the layer in the Layers panel (to get transparency, the layer must not be a background layer).
Then select the Magic wand tool. Settings: Tolerance around 20, Smooth and Neighbour. Hold down the Shift key and click on the outside of the four white corners.
This selection can now be deleted with the Delete key.
Now select the Text tool and click in the centre of the speech bubble. Write your text, format it and move it to the right place.
The result should look something like this:
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