Same as a lot of things... if you use it carefully it's safe.
if you add 100's of random people as contacts and accept everything that they send you then yes you could get a virus but if you only add a few people that you know and trust and don't accept any suspicious files then you shouldn't have a problem.
Make sure you create a decent secure password when you setup the account as well, as people do get their MSN accounts hacked, normally caused by weak passwords.