this seems like its not MSN to me... either some kind of trojan pretending to be MSN or something else bad... ok follow this and if you skrew up dont blame me...
search: MSN
note all file names that popped up from your search on a peice of paper.
stripe out all non *.exe
press START
press RUN
type: regedit or regedt32, this seems to vary a bit, I beleave its the second one in winXP
press enter
press F3 button type in RUN and press enter
wait til you find a folder called "RUN" if you dont find it in first case press F3 again until you find it.
delete all keys that point to MSN in the folder "run"
now click search in the top bar of regedit and search and type in the filename you found using the normal search. remove those too from there, but be carefull, only the MSNMSNGR.exe ones, no other!!!!111 else you will kil your computer or at least the internet of the computer!! i think its that but i'm not sure and only do this if you trust me...