Community Feedback has researched a number of different options to MSN Groups. They have a listing here -
Alternatives to MSN Groups Only a few of them however offer to transfer the site in it's entirety. Otherwise you'll be doing things by hand unfortunately. However, saving the HTML for the pages and what not isn't too difficult. But there won't be anything like MSN Groups again.
Also, not trying to put in a shameless plug or anything, but if you would like to at least just keep the Role Play going and have a place to transfer all your posts, my site
The World of Role Play is offering to host your Forum Based RPs. At the moment, we cannot offer any pages or anything, but the forum we use (phpBB) has quite good features and alot of the information you have in groups can be transferred in some form.