Problems in french.sty with msg.sty and msg-msg.tex
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Maybe, after having installed the e-french package that french 
announces that msg.sty is missing or that msg-msg.tex is missing. 
With the new versions of TeXLive, no such problem, 
by MikTeX v2.9, only msg-msg.tex is missing.
With a recent update or the newer versions it's OK.

If msg.sty is missing, msg-msg.tex is generally also missing.
This would be the cas by older or other environnements.
In any case, these files can be found on the internet. 
One possibility is CTAN, for exemple to get from
<http://mirror.ctan.org/macros/latex/contrib/msg/>
at least the files msg.ins, msg.dtx and msgfiles.dtx. 
and to download them in a work directory
   Then with the command 
     latex msg.ins
you have the missing files msg.sty and msg-msg.tex,
in order to put them in your french directory.
A second possibility is to download them from
<http://www.efrench.org/distributions/e-fr_msg/>