If you're going to deploy this in a production environment, I'd advice you to look at either RMI or XML web services. (Google's Protocol Buffers are interesting too, but do not include a standard protocol for message transport, although 3rd party implementations exist.)
If you're doing this for the pleasure of learning, there are tons of ways to go about this. In general, a message in a generic messaging system will have some kind of "envelope format" which contains not only the message body, but also metadata about the message. A bare minimum for the header is something that identifies the intended receiver - either an integer identifier, a string representing a method name or a file, or something like it.
A simple example is HTTP, a plain-text format where the envelope and the is made up of all the lines until the first blank line. The first line identifies the protocol version and the intended receiver (≈the file requested), the following lines are metadata about the request, and the message body follows the first blank line.
In general, XML is a common format for distributed services (mostly because of its good schema capabilities and cross-platform support), although some schemes use other formats for simplicity and/or performance. RMI uses standard Java object serialization, for example.
What you choose to use is ultimately based on your needs. If you want to make it easy to interact with your system from a large amount of platforms, use XML web services (or REST). For communication between distributed Java subsystems, use RMI. If your system is extremely transaction intensive, maybe a custom binary format is best for faster processing and smaller messages - but before doing this "optimization", remember that it requires a lot more work to get it working properly and that most apps won't benefit a lot from it.