open(AUTH) or die("couldn't open auth");
foreach $line (<AUTH>) {
   chomp($line);
   if($line =~ m/<my-regex-goes-here>/i) {
      push(@sessionID, $4);
   }
}
close(AUTH);

open(MSG) or die("couldn't open msg log");
foreach $line (<MSG>) {
   chomp($line);
   push(@array, $line);
}
close(MSG);

foreach $line (@array) {
   foreach $id (@sessionID) {
      # Look for auth request with sessionID
      if($line =~ m/<my-regex-goes-here($id)>/i) {
         push(@list, $line);
      }
   }
}

foreach $lines (@list) {
   print $lines;
   print "\n";
}