In your Bitcoin client, double-click the payment transaction, and copy the transaction ID. Visit http://blockexplorer.com/tx/[your transaction ID]. On that page, copy the top "From address". Enter that in the top field under File->Sign Message.
The program will verify that you own the private key to that address, and generate a signature for the message you typed in, which should include your shipping address.
@ tvbcof and Klestin thanks.
I still don't understand the mechanisms involved.
To be honest there should be an illustrated video highlighting how this works and how to use the feature.
I think I got it, however I have multiple from addresses, i presume it is ok to just enter 1 of them to generate the message?
correct you just have to maintain ownership of the address you sign with as long as you need to lay claim to the payment.