I'm sorry to say, currently msg file can't be opened using Outlook 2011. I have found the only way is one of three things:

 1. Get them in a pst file ( which might not work for you, cause you are getting them as a msg from a reason)
 
 2. Install windows and Outlook on your Mac through Boot Camp (seems like to much just to view emails)

 3. Try [Klammer](http://klammer.kupon-bg.com/macos/) 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?](http://answers.microsoft.com/en-us/mac/forum/macoffice2011-macoutlook/can-saved-outlook-email-and-contacts-in-msg-format/65144ce0-2d38-4d3f-b66f-3194db3effd3)

[Microsoft Office 2008 - Entourage and .msg files](http://forums.macrumors.com/showthread.php?t=421415)