The "last ___" means "the one before now". Here are a few more examples to help you to understand how to use it:

• If you sent a message an hour ago, that is your "last" message.
• If you sent a message an hour ago and you just sent another one, the message an hour ago is your "last" message.

What if you sent three messages - one two hours ago, one an hour ago, and one just now?

• The one you just sent is "this message" or "this last message".
• The one you sent an hour ago is "the last message".
• The one you sent two hours ago is "the previous message".