It's actually simplest to put the MSG instruction in the CompactLogix, since you can directly enter an SLC/PLC style Data Table Address into an MSG instruction's remote address field in RSLogix 5000.
If you're going to put the MSG instruction in the MicroLogix, you must configure an array tag (usually an INT[x] type) in the CompactLogix to be equivalent to an SLC Data Table. This is configured from the main menu: Logix -> Map PLC/SLC Messages.
Let's say you have an INT[10] array named "MicroData[x]" in the CompactLogix, mapped to Data Table 10.
From the MicroLogix MSG instruction perspective, this is "N10:0-9".
This "mapped array" serves as the data source for Reads, and the data destination for Writes.
Use the "500 Data Table Read/Write" message type selection in the MicroLogix, not the 485CIF or PLC-5 read/write or the CIP Generic.