ok, first, how do you connect to the internet?
is it direct, straight from your modem to computer? or do you have a router that the connection goes though?
assuming its a direct connection, and making sure you've dialed up (if you're on dialup), do you use a software firewall? this will be zonealarm, possible one that came with norton or some other security package, or maybe the default firewall in windows XP SP2 (if you use that).
basically open whatever firewall you use, and make sure that msn messenger is allowed to connect. there will probably be a button you can click to add msn messenger to the allowed list if it isn't already there.
then go and make sure you can connect to websites; just open internet explorer and goto google or somewhere. now in msn, goto tools->options->connection. test connection, or goto advanced optinos and make sure all 4 tickboxes are ticked. ports will probably be 1080 1080 and 80 (top to bottom).