You have a laptop.
More of less, your CPU can heat up VERY quickly, and has very little cooling capacity compared to a desktop system. The heatsink and fans are smaller, so there's less area to dissipate the heat, much less remove it from the system. The fans don't move as much air, so less cooling capacity.
What you're seeing is when you start a game or benchmark or something CPU intensive, you see the CPU heat up very quickly, which is normal even in desktop systems.
The reason it drops over time is because the cooling system will slowly ramp up the fans in the laptop to blow more air, thereby increasing the cooling ability of the laptop, and cause the CPU to cool down.
On top of that, as the CPU heats up and reaches a point where it needs to clock down the CPU due to heat. Again, that's normal and happens without your interruption. But generally speaking, it clocks down a little bit (to whatever it's highest base frequency is), and it creates less heat, which helps the cooling system catch up.
The cooling system in your laptop is a lot like following another car on the highway. If they floor it, it's going to take you a little bit to realize they floored it and for you to react to it. The cooling is the same way, it needs to see the temperature rise before it starts reacting.
HOWEVER, if you go into MSI Center and enable the 'cooler boost' function, you can have it providing the maximum cooling available right away before running the game. I sometimes do this with my laptop (GE 66 Raider), and it works pretty well overall to help keep the temps lower right from the start, however, ultimately, the laptop only has so much cooling capability, and the CPU and GPU generally far exceed what it can do.