A satellite is a manmade object that is put into orbit on purpose. There are natural satellites like the moon, but many people think of the artificial kind when coining the term satellite or discussing satellites. Satellites gather information during their orbit. They may take photos of the planets or other things in space. Mercury does not have any moon so it does not have any natural satellites.
However, when Messenger was sent into space it was put into orbit. It began to orbit around Mercury gathering as much information about this unknown planet as possible. It is hard to believe that the Messenger was launched in 2004 but it did not get into orbit until 2011. It was believed that Mercury had a moon at one time.