First, relax as far the test goes. It is not MS specific. It's always done by a specialized neurologist. It's what they do. It's a little uncomfortable, at times, but not bad.
It can help in the diagnosis. But an EMG records electrical activity in your muscles and it can detect problems, abnormal electrical readings, that happen in a lot of conditions.
A nerve conduction study, involving inserting needles in different areas is often done with it. In your case I don't what the doctor is looking for, or to rule out.
They are diagnostic tests, not unique to any one disorder.
An abnormal EMG can be a sign of a number of nerve and muscle disorders.
Ask the neurologist why he is doing the test, since it's to late to call the doctors office.
You can look here and here for more information.
An interesting article about neurological tests can be found here on Health Central and the comments are worth reading too.