Well, not actual conversation, but phrases she knows like...
"Ok" or "let's go"- trying to get her to walk faster
"heel"- usually when around a crowd
"slow down"- my feet hurt darnnit
"place"- point at anybody you see
"who's that?"- getting her to be watchful of somebody nearby
"aren't you forgetting something"- if she forgets to sit at the corner
"go see"- means we are stopping at a familiar dog friend's house
"where"- Autumn's choice which way to go
"leave it"- eww whatever that is it's dead

and many many more. Usually I'm going on the whole walk.
I second this one, I dont have conversations with my dogs, but I am usally talking to them almost the whole time, using the same kind of commands as above.