/Msg:
/Msg is like this: /msg Bob (your message) it will whisper to bob your message instead of doing it into the chat where everybody can see it. The downside to this is the operator which is the creator of the world, can see that you whispered to someone.
/Tell:
/Tell is mostly the same. Except you need to put in the /tell instead of the /msg. Like /tell bob (Your message) it will tell bob that thing. Operators can also see this.