The procedure of converting a Fluent .msh file is first to create a new OpenFOAM case from FoamX, as described in section 5.3.2. Then at a command prompt, or from within FoamX, the user should execute:
fluentMeshToFoam <root> <caseName> <meshFile>
where <meshFile> is the name of the .msh file, including the full or relative path.
(see also Chapter 6.4.1. at the User-Guide)