Above an below are two examples of 'urgent train messages' sent on the London and South Western Railway in 1911 and 1912 respectively. These were messages that were required to be sent quickly by a station master or official to any part of the line. They would be sent by handing them to the guard, who then in turn would make sure they would be delivered by their destination.
However, while the name of the documents are 'urgent' train messages, I think that our conception of 'urgent' is different from that of railway workers in the 1910s. We tend to think of an urgent message as something that can be conveyed immediately by phone, text or email. Yet, the railways worked on the principal of daily returns being sent from stations to HQ offices and officials once a day, and through the operation of many long-established working and trading arrangements. Thus, as the second UTM below details, 'urgent' may refer to changes in activities that may occur on the next day that there wasn't enough time to convey through the established channels. Therefore, 'Urgent' could refer to any change in operations that the station master or official became aware of after he had sent away his regular daily returns to the relevant office or individual; even if they had been sent up only 20 minutes beforehand,