Hello Heng
The important thing to note here is that multicast mechanisms are not being employed over the Internet itself. MSDP allows for two edge routers to share multicast information such that multicast traffic can be sent between them. Such multicast traffic is sent using PIM Sparse Mode, which means that multicast traffic traversing the internet is sent to the RP that is at the edge of the other autonomous system and is being used as the specific “next hop” of the multicast traffic. Remember, the RP knows about all the sources and receivers for any particular multicast group.
Note that no intervening routers on the Internet are employing multicast mechanisms.
More about MSDP can be found here:
I hope this has been helpful!
Laz