This declaration has no storage class or type specifier in C++

This is a mistake:

m.check(side);

That code has to go inside a function. Your class definition can only contain declarations and functions.

Classes don't "run", they provide a blueprint for how to make an object.

The line Message m; means that an Orderbook will contain Message called m, if you later create an Orderbook.

You can declare an object of a class in another Class,that's possible but you cant initialize that object. For that you need to do something like this :--> (inside main)

Orderbook o1;
o1.m.check(side)

but that would be unnecessary. Keeping things short :-

You can't call functions inside a Class

Calling m.check(side), meaning you are running actual code, but you can't run code outside main() - you can only define variables. In C++, code can only appear inside function bodies or in variable initializes.