View full message headers from a .msg file in Outlook 2007
Open the .msg file (Double clicking it should open it in Outlook).
If you're using Outlook 2007, click on the small arrow at the bottom of the Options section of the ribbon. If its Outlook 2003 or below, click View->Options from the menu bar. This should bring up the Message Options window.
The full message headers should be present in the text box labeled "Internet headers" in this window.
Source: http://office.microsoft.com/en-us/outlook/HA010937071033.aspx