Try this query:
select m.subject, m.msg, m.owner_id, users.name
from message as m, message_users as mu
inner join users on (message.owner_id = users.id)
where m.id=mu.msg_id and mu.user_id=$u_id order by dateof_msg desc
I could improve the answer if you explain me what do you want to do: What is the structure of message_users and message tables and why do you want to join both of them?
EDIT: What about this?
select m.id, m.subject, m.msg, owner.id,
owner.name, receivers.id, receivers.name
from message as m
inner join message_users as mu on (m.id = mu.msg_id)
inner join users as owner on (m.owner_id = owner.id)
inner join users as receivers on (m.user_id = receivers.id)
where receivers.user_id=$u_id
order by dateof_msg desc
The problem is that you'll get one row for each message and for each receiver, but with PHP you could group the information (is more efficient than 3 queries in a loop)