MsgID |       DateTime       | State | TimeDiff
---------------------------------------------
387   | 2014-09-06 21:06:27  | 2     | 43
387   | 2014-09-06 21:06:28  | 3     | 44
212   | 2014-09-06 22:16:27  | 1     | 0
212   | 2014-09-06 22:16:38  | 3     | 11
532   | 2014-09-06 23:26:27  | 1     | 0
532   | 2014-09-06 23:27:27  | 3     | 60
532   | 2014-09-06 23:27:28  | 2     | 61
215   | 2014-09-06 23:46:27  | 1     | 0
212   | 2014-09-07 22:16:27  | 1     | 0
212   | 2014-09-07 22:16:37  | 2     | 10
212   | 2014-09-07 22:16:38  | 3     | 11

MsgID |       State 1       |       State 2       |       State 3       |
-------------------------------------------------------------------------
212   | 2014-09-06 22:16:27 | null                | 2014-09-06 22:16:38 |
532   | 2014-09-06 23:26:27 | 2014-09-06 23:27:28 | 2014-09-06 23:27:27 |
215   | 2014-09-06 23:46:27 | null                | null                |
212   | 2014-09-07 22:16:27 | 2014-09-07 22:16:37 | 2014-09-07 22:16:38 |

select
 MsgID,
 State1= [1],
 State2= [2],
 State3=[3]
from
(
    select
    t1.MsgID,
    t1.DateTime,
    T1.State,
    r=row_number() over ( order by t1.[DateTime])- row_number() over( partition by t1.MsgID order by t1.[Datetime])
from t t1
join
(
    select MsgId
    from t
    group by MsgID
    having min(State)=1
) t2
on t1.MsgId=t2.MsgId
) src
PIVOT
(
    max(DateTime) for State in ([1],[2],[3])
    )p