SELECT [Message] , gr.UserID, gr.UserToID, date
from [dbo].[ChatMesssages] cm
inner join (
    SELECT [UserID], 
    [UserToID],
    MAx([MessageDate]) as date
    FROM [dbo].[ChatMesssages]

group by UserID, [UserToID] ) 
as gr on gr.UserID = cm.UserID and gr.[UserToID] = cm.[UserToID] and gr.date = cm.[MessageDate] 
where gr.UserToID = 3

        var rez = from cm in data.ChatMesssages
                    group cm by new { cm.UserID, cm.UserToID  } into gr_cm
                          from cm1 in data.ChatMesssages 
                    where gr_cm.Key.UserID == cm1.UserID && gr_cm.Key.UserToID == cm1.UserToID && gr_cm.Max(x=>x.MessageDate) == cm1.MessageDate
                    && gr_cm.Key.UserToID == UserID