It's not on my Vista machine either.

Microsoft Windows [Version 6.0.6002]
Copyright (c) 2006 Microsoft Corporation.  All rights reserved.

C:\Users\wfsp>msg
Send a message to a user.

MSG {username | sessionname | sessionid | @filename | *}
    [/SERVER:servername] [/TIME:seconds] [/V] [/W] [message]

  username            Identifies the specified username.
  sessionname         The name of the session.
  sessionid           The ID of the session.
  @filename           Identifies a file containing a list of usernames
+,
                      sessionnames, and sessionids to send the message
+ to.
  *                   Send message to all sessions on specified server
+.
  /SERVER:servername  server to contact (default is current).
  /TIME:seconds       Time delay to wait for receiver to acknowledge m
+sg.
  /V                  Display information about actions being performe
+d.
  /W                  Wait for response from user, useful with /V.
  message             Message to send.  If none specified, prompts for
+ it
                      or reads from stdin.
[download]

update: I dread to think what you've done to your vista box :-)

C:\test>ver
Microsoft Windows [Version 6.0.6001]

C:\test>msg
'msg' is not recognized as an internal or external command,
operable program or batch file.
[download]

Seems (see the Note) that it isn't available with Vista Home * editions.

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