No subway line goes to LGA, irritatingly enough. Instead, you have to take a subway/bus combination.
From MSG, I would take the E train uptown towards Queens, getting off at Roosevelt Ave - Jackson Heights, and then transfer to the Q33 which will take you straight to LGA.
Others may say that you should take the 1 train uptown to 110th St and take the M60 to LGA, but in my experience that way is much longer.