UML 1 uses the name Collaboration Diagram. UML 2 uses the name Communication Diagram. In this link you can find the definition and one nice example. Here you can find a nice reference about how to create them.
Unfortunately, I didn't find this diagram in the software I have been using lately: DIA. I think it is not available in WhiteStarUML either. There is a tutorial in the help, but I wasn't able to make it work. As WhiteStarUML is a fork of StartUML, maybe it is just not done yet.
WhiteStarUML Screenshot: there is a folder for Collaboration Diagram but not a file inside to double click it to create it (like the Class Diagrams or UseCase Diagrams)
What your favourite free tool to create those diagrams?
Again, free community edition of Visual Paradygm UML. Until you use one diagram for a project it even can be printed without water signs.
But the communication diagram is very simple, you could easily simulate it with some free diagraming tool. There are many of them, they are easy, simply try and find what you like - intuitivity is too personal thing.