VMS Help SET, MESSAGE, Parameter  *Conan The Librarian (sorry for the slow response - running on an old VAX)

 filespec

    Specifies the name of the process level message file. Messages
    in this file supersede messages for the same conditions in the
    system message file or in an existing process message file. The
    file type defaults to .EXE. The asterisk (*)  and the percent
    sign (%)  wildcard characters are not allowed. If you do not
    specify this parameter, the qualifiers apply to the system
    message file.