Is it possible to send a message from SAP to MSMQ ?
Certainly it's "possible" - the question is, how far are you willing to go? If executing some custom program either on the SAP systems or some gateway system is an option, you could probably write some small connector application that parses either a command line or an input file, connects to the queue and sends the message. If spawning a process repeatedly is not an option, take a look at the RFC SDK and the documentation - it should not be too that hard to write a background process that waits for incoming calls and forwards them to the MSMQ.