It seems the message you received was stored in the new Unicode format. As you are using MS Outlook 2002, it cannot open a Unicode formatted message because it only identifies ANSI format.
As you have told us that the MSG file was sent by a client, ask him/her to resend it. And make sure this time the format should be changed from Unicode to ANSI before sending the MSG file. After this you would be able to open the MSG file.