Since the question is about creating and appending multiple objects at the same time using jQuery, here is an approach:
$('body').append([
$('<div/>',{ "class": "freeze" }),
$('<div/>',{ "class": "parent" }).append([
$('<div/>',{ "class": "loadimg" }),
$('<div/>',{ "class": "header" }),
$('<div/>',{ "class": "msg" })
]);
]);
In some cases operating with structural data is more reliable and more convenient than raw markup