Suara,
Your question is not very clear, do you want to get a message from MSMQ, and put that in the form of a file in a folder?
You can use MSMQ adapter on the receive end, not the File Adapter for this purpose. Configure it to the location you have for that queue. Give the queue name in this format:
FORMATNAME:DIRECT=OS:<ComputerName>\PRIVATE$\<QueueName>
You can then receive messages dropped in this queue and once you receive it you can do whatever you like with them, process them in an orchestration, directly send it to the send port etc.
Hope that helps.
Regards,
Sajid.