Check if you have multiple instances of Outlook running.
Close Outlook,
Open Task Manager and select the processes tab,
Search the list of processes for OUTLOOK.EXE,
If it is in the list select it and click ‘End Process’, then restart Outlook.

Check if Outlook has disabled MsgSave.
In Outlook 2003 go to Help -> About Microsoft Office Outlook -> Disabled Items.
In Outlook 2007 go to Help -> Disabled Items.
If MsgSave is in the list select it and click Enable.
Then restart Outlook.

MsgSave may not be installed correctly.
Try uninstalling MsgSave, reboot your machine and then reinstall MsgSave (please make sure you follow the instructions in the Installation section carefully).

The .Net Framework 2.0 may have become corrupt.
Try repairing the .Net Framework as follows:
In XP go to Control Panel -> Add/Remove Programs
In Vista/Windows7 go to Control Panel -> Programs -> Programs and Features
Select `Microsoft .Net Framework 2.0` and click `Change`
Select the `Repair` option and click `Next`.