Assigning callbacks for specific types?

[lolirelia]

Ive been reading through the steamworks SDK and some functions will trigger callbacks I'm assuming by running SteamAPI_RunCallbacks. But the documentation doesn't state how to actually register a callback..
I'm trying to use SteamNetworkingMessages()->ReceiveMessageOnChannel and the documentation states if a previous connection has not been established then the message will be ignored and a SteamNetworkingMessagesSessionRequest_t callback will be triggered.. In which case you can then call AcceptSessionWithUser.

Where and how do I actually register the callback for SteamNetworkingMessagesSessionRequest_t?