You cannot convert just any e-mail message to MP3 audio, which means msg to mp3 conversion is typically not possible. However, some .msg files may have some .mp3 file in attachment and this can be recovered. Usually best to import it to some supported client and just download the attachment. Some Online converters also supposedly offer this, but the results could not be verified.
It also may be of note that some audio software export to email (.msg) format in a way to publish / share the multimedia data. This was often the case for Pocket PCs based on Windows Mobile. There is really no easy way how you can recover the data, except for using the original tool.Open MSG file Open MP3 file