Lecture on Entities and Working with Them:
The first thing you want to know about entities is not to be rude to them, because some of them can really mess you up. In other words, be sure to know how to defend yourself as well! - Shane
Also, many of them can't speak English or other human languages so a good way to greet one is with a bow.
In order to talk with an entity in the first place, you can summon one or travel to another plane.
There are multiple summoning guides that Atmo has posted, so take a look at those if you want.
However, I highly recommend that you do not use an open channel method of summoning until you know what you're doing, as you're basically running into the street and screaming "HI!".
So someone nice could come over and say hi back, or someone could come and stab you. It's also seen as kind of rude by many entities so that goes back to the not pissing them off thing.
The most common forms of communication are either sending emotions or telepathy.
They both work in very similar ways, for emotions you can link to the entity and then gather up an emotion of some kind and send it across the link to them.
Telepathy works similarly, except it's a bit harder as you have to send out words which they might not fully understand the meaning of.
Personally, I use a combination of these to make sure that what I want to say gets across correctly.
There are many different types of entities, you could spend hours researching just the names of all of them. Some well known ones are angels, demons, and wraiths.
Contrary to popular belief, all demons are not necessarily cruel, and not all angels are necessarily kind. So, just treat an entity like you would treat another human. This is true, actually, in most cases as well the entities people call Demons are not of that race at all as well. - Shane
There are also a lot of different kinds of relationships people have with entities.
A guardian is probably the most commonly known one, but there are plenty others, as many types of relationships as humans have with each other. Be sure to confirm the Guardian is actually a Guardian and not a trickster type of spirit before hand though - Shane
You must also make sure that you make a set of "house rules" with your companion, as entities don't necessarily have the same social and moral ideologies that humans do.