One thing to point out when using the MSG command is that you need to end the statement with a "$". I specifically remember not doing that originally and upon carefully reading the help section that Ghost linked, it is there. So in Ghost's example you would:
msg \ HEY$ ; Guild
msg | HEY$ ; Alliance
msg / HEY$ ; Party
"$" just stands for a carriage return. In other places in EUO, it acts more like a newline allowing you to break up a string into separate lines for use in a Text control for the UI.