Let's talk a little about Moshiach (the Messiah). I'll admit, I'm not as well versed on Moshiach as I should be because since there is no world peace, I know that Moshiach hasn't arrived yet. The lion has not laid down with the lamb, we haven't made our swords into plowshares, and there is not an end to war. While I have so many other areas that need more immediate detailed knowledge (kashrut, lashon hara, etc), I don't see the need to delve further than the knowledge I just listed. (If you disagree, I'd love to hear your argument!)
So let's get one thing straight: If you want to convert to Judaism-in any movement-Jesus is not Moshiach. You cannot believe in Jesus as anything more than a historical person. (But yes, you can believe he existed as a historical person.) Messianic Jews are not Judaism, they belong to Christianity. Many aren't even Jews. I suggest checking out Jews for Judaism. Further, Jesus is not a prophet in the Jewish religion; you're thinking of Islam (as I understand).
I know, I get off easy because I wasn't raised Christian. I didn't have to work to overcome a Christian training. (Though that might be debatable since I grew up in the Bible Belt!) However, my understanding is that many former Christians approach Judaism precisely because Jesus doesn't "seem right" to them. If you feel pulled between these two worlds, I wish you luck and strength.