Anything in here missing to answer your question? http://docs.splunk.com/Documentation/Splunk/latest/Data/Configureyourinputs
Splunk does not do 'timed' monitoring. It can monitor your folder and pick up any *.msg file when it appears/changes. If you need to make sure that data is only indexed every 15 minutes (use-case?), setup a cronjob that copies the file "on the quarter hour" into the folder monitored by splunk and consider using a batch input, if your file size justifies it.
