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How to execute multiple tests in one method?
public class MessageClass
{
    private int _messageTypeCode = 0;
    private int _messageTypeSubcode;
    private int _messageSequenceNumber;
    private string _messageText;

public MessageClass()
{
    this._messageTypeCode = 0;
    this._messageTypeSubcode = 0;
    this._messageSequenceNumber = 0;
    this._messageText = string.Empty;
}

public void SetMessageTypeSubcode(int AMessageTypeSubcode)
{
    int iMsgTypeSubCode = AMessageTypeSubcode;
    if (iMsgTypeSubCode > 9999)
    {
        iMsgTypeSubCode = 9999;
    }
    else if (iMsgTypeSubCode < 0)
    {
        iMsgTypeSubCode = 42;
    }
    _messageTypeSubcode = AMessageTypeSubcode;
}

public int MessageTypeSubcode()
{
    return _messageTypeSubcode;
}

[TestMethod()]
public void SetMessageTypeSubcodeTest()
{
    int AMessageTypeSubcode;
    // Should I put this class instantiation in MyTestInitialize?
    MessageClass target = new MessageClass();

    // Test 1
    AMessageTypeSubcode = 0;
    target.SetMessageTypeSubcode(AMessageTypeSubcode);
    Assert.AreEqual(AMessageTypeSubcode, target.MessageTypeSubcode());

    // Test 2 - 10000 is too much
    AMessageTypeSubcode = 12345;
    target.SetMessageTypeSubcode(AMessageTypeSubcode);
    Assert.AreEqual(9999, target.MessageTypeSubcode());

    // Test 3 - val must be positive
    AMessageTypeSubcode = -77;
    target.SetMessageTypeSubcode(AMessageTypeSubcode);
    Assert.AreEqual(42, target.MessageTypeSubcode());
}

_messageTypeSubcode = AMessageTypeSubcode;

_messageTypeSubcode = iMsgTypeSubCode ;