Rather than set the window.location
you want to set a 'success' function on the ajax call so that when it finishes it takes the response and puts it into your page.
E.g. something like:
$('#click01').click(function(){
$a = 14;
$.ajax({
url : 'msg.php',
type : 'post',
data : {a:$a},
success: function(data, textStatus, jqXHR) {
$('#placeToPutTheResponse').append( data );
}
});
});
The above assumes that you have added an HTML node with the id="placeToPutTheResponse"
It is worth reading this other post on SO for a decent overview: jQuery Ajax POST example with PHP
It uses done
rather than success, and slightly different syntax, but it's a great overview.