What do you mean by "has no connections for it?
It just plugs into any x4, x8 or x16 PCIe slot. It doesn't require anything special or specific that any motherboard since many generations now would not have.
What is the exact model of your MSI motherboard?
And no, there is really no way to "convert" a PCIe drive to M.2 or SATA, although there are probably SATA to PCIe adapters. There are definitely M.2 and SATA TO PCIe, but PCIe to those form factors is probably both unlikely and undesirable in most situations.