Use following code if you want to save it as .eml
message.Load(new PropertySet(ItemSchema.MimeContent));
MimeContent mimcon = message.MimeContent;
FileStream fStream = new FileStream("c:\test.eml", FileMode.Create);
fStream.Write(mimcon.Content, 0, mimcon.Content.Length);
fStream.Close();
For msg file look at following link:
http://msdn.microsoft.com/en-us/library/cc463912%28EXCHG.80%29.aspx
After saving it as .eml file you can look at following post for parsing it:
Recommendations on parsing .eml files in C#
Hope its helpful.