I had not set up Icloud, so any advice will be more than welcome, specially, on how to block the computer or send a message.
No. There is nothing you can do now beyond reporting it to the police now seeing as how you didn't set it up prior to it being stolen.
If you purchased your computer with a credit card, you may be insured with them. Call them to find out. If you have homeowners or rental insurance, report the theft to them.
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