Actually not strictly true.. it is possible to use MSN messenger without a MSN email address, one of my accounts uses my old work email to login to messenger. They make it really tricky and long winded to setup though and it's generally far easier to just use a MSN address.
However if you do setup a MSN account you certainly do not have to pay for it. it's a Totally free service.
download live messenger here.. just take the ticks out of everything under select your settings before clicking install as all the other stuff is rubbish you don't need.
http://get.live.com/messenger/config