The .msf extension is a 'Mail Summary File' and is used by many email clients (including Mozilla's Thunderbird). These messages are stored in two files, one without an extension (E.g Inbox) which holds the actual mail messages in the standard 'mbox' format and the other with an .msf extension (E.g Inbox.msf) which holds an index of the mail.
To convert mbox files to eml files (used by applications such as Microsoft's Outlook and Outlook Express), you will need a tool such as IMAPSize.