A novena is nine days of prayer for a special intention. The first novena was prayed by the apostles in the upper room between the time of Jesus' ascencion into heaven and Pentecost (Acts 1:12-14).
The message of mercy is that God loves us — all of us —no matter how great our sins. He wants us to recognize that His mercy is greater than our sins, so that we will call upon Him with trust, receive His mercy, and let it flow through us to others. Thus, all will come to share His joy.
Here is a link to info about the devotion and how to pray the novena, which can be prayed on ordinary Rosary beads:
Also, here is a downloadable audio podcast that you can pray along with:
"For the sake of His sorrowful Passion, have mercy on us and on the whole world."