Windows does not have a native viewer to open MSG file formats. MSG is a file format for saved Outlook or Exchange emails. If such a file is saved as an Attached Document, you would be unable to view the file. I freeware utility named "MailViewer" can be installed which enables viewing of MSG files. The download can be found at https://www.coolutils.com/MailViewer.
There are several MSG viewers when you Google for one. Most of them have an intrusive interface that appears when you try to few a file. MailViewer though simply displays the intended file with no intrusion.