Why do you need to invoke an anonymous function on the same line?

I was reading some posts about closures and saw this everywhere, but there is no clear explanation how it works – everytime I was just told to use it…:

// Create a new anonymous function, to use as a wrapper
(function(){
    // The variable that would, normally, be global
    var msg = "Thanks for visiting!";

    // Binding a new function to a global object
    window.onunload = function(){
        // Which uses the 'hidden' variable
        alert( msg );
    };
// Close off the anonymous function and execute it
})();

Ok I see that we will create new anonymous function and then execute it. So after that this simple code should work (and it does):

(function (msg){alert(msg)})('SO');

My question is what kind of magic happens here? I thought that when I wrote:

(function (msg){alert(msg)})

then a new unnamed function would be created like function “”(msg) …

but then why doesn’t this work?

(function (msg){alert(msg)});
('SO');

Why does it need to be in the same line?

Could you please point me some posts or give me an explanation?