I'm sorry to say, currently .msg files can't be opened using Outlook 2011. I have found the only way is one of three things:
Get them in a .pst file ( which might not work for you, cause you are getting them as a .msg file for a reason).
Install Windows and Outlook on your Mac through Boot Camp (although it seems like to much just to view emails).
Try Klammer it will let you open them, and on their site is says open in Outlook.
I think your best bet might be number 3.
resources:
Can saved Outlook email and contacts (in .msg format) be converted and then imported?
