You will need to choose "Advanced uploading of files" when you set up the assignment. This type of assignment allows you to send back a response file to the student that has your comments marked.
I have found that it is necessary to save the student's file on my hard drive and then make my comments to that file. It is that file that you will browse to and send back to the student as the "Respone file". The place to specify a response file is only available in the grade window when the assignment is an "Advanced uploading of file" type. There is no place to specify a response file when the assignment is a "Upload a single file" type of assignment.
I hope this helps.