MSG is the popular file format and is used by MS Outlook to contain all the emails messages and other items such as contacts, meetings, etc., outside of Outlook. MSG file does not store the whole data in one file. PST file stores complete Outlook data while the MSG files stores a single email item of Outlook. Currently, you have an MSG file and you want to store all data in one file then you need to convert data MSG to PST. I always use the Cigati MSG converter tool that has many advanced features.