A neutron star is useful to study some extreme aspects of nature. A fast-spinning neutron star, known as a millisecond pulsar, can typically spin several hundred times in a second. A non-symmetric distortion of such a pulsar, which is not along its spin axis, can generate continuous gravitational waves. Such continuous waves, which have not been detected so far, could provide a wealth of information about neutron stars, and be an excellent tool to probe fundamental aspects of gravitational physics. I will discuss how observations of millisecond pulsars in the traditional electromagnetic wave bands, combined with theoretical calculations, can indicate gravitational wave emission from these pulsars.