Consulta Mysql GROUP by y ORDER by

http://sqlfiddle.com/#!9/9ebdc/1

puedes empezar por encontrar MAX :

SELECT 
 MAX(id) max_id
FROM msg
GROUP BY user_id;

y luego usarlo como filtro:

SELECT *
FROM msg
WHERE id IN (
SELECT 
 max(id) max_id
FROM msg
GROUP BY user_id);