MSG files are created by Microsoft Outlook. This article describes what MSG files are, the different ways you can open them, and how to convert them to a different format depending on what the file stores (email, contacts, etc.).
How to open a .msg file without Microsoft Outlook
A file with the .MSG extension is most likely an Outlook Mail Message file. The Microsoft Outlook program can create an MSG file that relates to an e-mail, appointment, contact, or task.
If the file is an email, the MSG file might contain message information such as the date, sender, recipient, subject, and message body (including custom formatting and hyperlinks). However, it could also simply be contact information, appointment information, or a task description.
Outlook will open MSG files that are Outlook Mail messages, but you don't need to have MS Outlook installed to view the file. Free Opener, MSG Viewer, MsgViewer Pro, and Email Open View Pro should also work.