On OS/2 there are several MSG files, these are referred as "message files".
If you open any MSG file with a text editor you will notice that the file starts with "MKMSGF".
This files are generated with the MKMSGF program. There is also a clone of this program called mkmsgf.zip
There is also this program that "decompiles" MKMSGF MSG files called e_msgf.zip