If you select a unit and a speech bubble appears over the head of another unit, it means that they can use the Talk command. They must be adjacent to each other in order to talk. When this is available for allied units, Support will be built between them.
Always consider executing this command whenever it is available and listen to what the other unit has to say. There are story-driven missions later that talking to an enemy unit might convince him/her to join you or give you a chance to make a major decision.