if object_id('tempdb..#t') is not null drop table #t
select
	 m.*
	,p.param
into #t
from
(
	values
	 (1,'en','User name=[1] does not play in the game id=[2]')
	,(1,'ru','Пользователь=[1] не играет в игре id=[2]')
	,(2,'ru','Ошибка')
	,(2,'en','Error')
) m(id,lang,msg)
left join
(
	values
	 (1,'en','Vasa')
	,(1,'en','7777')
	,(1,'ru','Вася')
) p(id, lang, param)
	on m.id = p.id
	and m.lang = p.lang


select distinct
	 1 as Tag
	,null as Parent
	,id as [msg!1!id]
	,null as [msg!2!row!element]
	,lang as [msg!2!lang]
	,msg as [msg!2!msg]
	,param as [msg!3!param!element]
from #t
union all
select distinct
	 2 as Tag
	,1 as Parent
	,null
	,id
	,lang
	,msg
	,param
from #t
union all
select distinct
	 3 as Tag
	,2 as Parent
	,id
	,null
	,lang
	,msg
	,param
from #t
for xml explicit

declare @x xml = '
<msg id="1">
	<row lang="ru" msg="Пользователь=[1] не играет в игре id=[2]">
		<param>Вася</param>
	</row>
	<row lang="en" msg="User name=[1] does not play in the game id=[2]">
		<param>Vasa</param>
		<param>7777</param>
	</row>
</msg>
<msg id="2">
	<row lang="ru" msg="Ошибка" />
	<row lang="en" msg="Error" />
</msg>'
select @x