Follow instructions in MemorySanitizerUsingGit under "Building". They will get you an MSan-enabled Clang compiler in llvm/build/bin/clang.

Compile and link your code with -fmemory-sanitizer. Run the resulting binary.

To get symbolized reports, define an environment variable like this:

MSAN_SYMBOLIZER_PATH=/path/to/llvm/build/projects/compiler-rt/utils/llvm-symbolizer/llvm-symbolizer

Reports can also be post-symbolized by feeding them into the following:

LLVM_SYMBOLIZER_PATH=/path/to/llvm/build/projects/compiler-rt/utils/llvm-symbolizer/llvm-symbolizer /path/to/llvm/projects/compiler-rt/lib/asan/scripts/asan_symbolize.py

The method above will only work reliably if you build the whole program with -fmemory-sanitizer, including all the libraries it depends on, with the exception of libc.