I don't think, you can extend a message type. I am sure, you can extend a IDoc Type.
For additional help, check out this :
http://help.sap.com/saphelp_46c/helpdata/en/dc/6b7d6243d711d1893e0000e8323c4f/frameset.htm
Go to Structure, Documentation and Defintion of IDoc Types
--> Defining New Idoc Types --> Extending an IDoc Type
Here , there are two hyperlinks given as :
a) Extending Outbound Function Modules
b) Extending Inbound Function Modules
Here the entire information how to find the user-exit and code is given.
Regards,
Subramanian V.
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