Even if it was real, the chances of you and someone close to you being in the same room are pretty slim.
It's like... my Nan went to a medium.
The conversation was like this:
M: I've got someone here, hold on... they're saying... Graham? Does that mean anything to you?
N: Yes, I had a son called Graham.
M: He says... he's very sorry for what happened.
N: Ah, he must mean moving away.
M: He's with somebody. Any idea who that could be?
N: Well, he was always very solitary.
M: Hmm. He says do you remember February?
N: Ah, that was his daughter's wedding!
M: Yes, he's saying how he remembers that dress, and that excellent cake.
..... and so on...
All well and good, except Graham isn't dead, as far as I know. :p
It's all about making connections, reading people, etc. The only way to find out for sure is not to give any clues away. If they say "I have someone here, called Muriel, does that mean anything to you?" ask for more information about this so called Muriel. If they say "Any idea who that might be?" say "You should know, you're talking to them."