A .msg file is a single email saved by Microsoft Outlook. It stores the message, the header details and any attachments, and it keeps Outlook only items like flags, categories and meeting requests. It is not a virus by itself. The risk is the same as with any email attachment, so only open it if you trust the sender.

Outlook opens it on double click. Without Outlook you can not read it properly in Windows. The differences from EML are that EML is a standard open format while MSG is Microsoft's own format, and EML opens in many more programs.

If you need to share the message with someone who does not use Outlook, open it and use File > Save As to save as HTML or print it to PDF.