Interrupts are a way for peripherals to signal to the CPU something happened (packet is received, audio buffer has been played and I need more data, etc. the application is device dependent). Once a cpu receives an interrupt it jumps to a predetermined interrupt service routine the OS sets up to address the situation the peripheral signaled (usually ultimately in a driver). Traditionally those are carried by individual discreet connections to the CPU ie. a set of wires signaling an interrupt level. MSI is a way to virtualize this and have interrupts in band with the rest of the bus (Ie. Within the address space of the bus) instead of needing specific wires for each one.