Someone was having the same issue and I said:
Do not fill in these sort of links. They then take your user details, log in to your email and MSN and spam all your contacts with "entertaining" sites. This means links to porn.
I made something similar as an experiment once to show people and got 8 genuine MSN logins and email within a few hours:
http://www.square-bear.co.uk/mitsuku/msn.htm
Naturally, I didn't use them and informed the users what they had done was stupid to say the least.
It's called SPIMMING and is becoming a problem especially among younger users of MSN.