MSG files are generated by Microsoft Outlook when saving an email message as a file. E-mail fields such as date, sender, recipient, subject and of course the message itself are processed. Also attachments may be included. Msg files are used in the same way by the Microsoft Exchange Server.
In addition to Microsoft Outlook, there are a few mail programs that can read and process MSG files. With conversion programs, most MSG files can be converted to eml format, which can be read by a variety of mail programs (eg Thunderbird) Mozilla Thunderbird can import the email from Outlook, even if Outlook is installed.