Shorthand for message, msg is commonly used in chat rooms for users who want to talk in private. MSG is also used in IRC as a command to send messages privately to other users connected to IRC. Below is an example of how this command could be used.
/msg computerhope Hello how are you?
In the above command, "Hello how are you?" would be sent to the user computerhope. Most IRC programs also open a new chat window with the user you sent a message, so the conversation can be continued.