I have come across this question of whether JMS and MSMQ are interoperabe a number of times and so I decided to address it. Microsoft does not have a JMS provider for MSMQ so basically you will need to use a third party product or implement your own JMS provider.
I came across an interesting article called Enterprise Messaging in a Heterogeneous Environment. The article describes how to use web services as a proxy between MSMQ and a JMS implementation. The solution effectively implements a custom enterprise message bus using which heterogenous applications (.net and java) can communicate asynchronously with each other.
MSDN also has some pointers on implementing asynchronous interoperability.