Which page in wordpress has got the code for that contact page?

Wordpress doesn't include a message page. You can either need to code one yourself or download a wordpress plugin.

Here is a wordpress plugin: Contact Form 7

Also, this isn't programming related.

Contact Page 7 is excellent.

and you might look into the Small Contact Page wordpress plugin (note: it uses tables).

or use Google Docs' form or use Wufoo which enables you to definitely easy embed with other sites.