You can not search for a specific message within a specific conversation.
However, you can search for a specific message in all of your conversations. To search click the “Search” bar above your contact list on the left of your screen.
Type in three or more characters to start searching. If you want to refine your search results, you can click on ‘Options’ underneath the ‘Search’ bar. In the menu that appears you can select the filters you want to use. Then click on the ‘Search’ button again.