You would need to include the item with the message and all the needed parents. The message item is in the email root (could be
/sitecore/content/Email). Within the
Messages folder you have folders based on the date (year/month/...). You might want to include those (without all children) to make sure the path to the message item exists.
Once you have those in the package, you can install it on the new environment. Verify if the item exists. It won't show up in EXM though - you need to open the message in EXM (from the content editor) and re-activate it to get it visible there as explained in this Q/A: How to transfer EXM campaign and mail between environments?