It depends on how you backup your mailboxes, via bricklevel backup or information store backup.
As far as I know restoring a single message does not work. You will need atleast to restore the mailbox to a dummy mailbox, via redirect, or over the existing mailbox, in case the entire mailbox needs to be restored. (in case of a bricklevel backup) An information store you can restore in a Exchange Restore group. From there you can retrieve the data from the mailbox.
Check the BE knowledge base on how to do this.
Regards
A van der Boom