Do you have a router or software firewall?
Generally, in a case where one internet-based program is working while one is not is related to opened and closed ports.
Ports are different 'doors' to the internet and each program has a different port that it uses.
If you have a software firewall, make sure that MSN is setup so that it can act as a server and client to the internet. The same pretty much goes for a router, except routers seem to auto-detect such things.
Intel E6750...........PSN: ELBATROP
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Patriot PC2-6400 8GB (4x2GB)
36GB WD Raptor
Samsung SyncMaster 931c
Samsung SyncMaster 750s
Windows 7 Home Premium 64