Make MSN Messenger work with your Firewall

Windows Firewall:

Click Start, click Run, type FIREWALL.CPL , and then press ENTER
On the General tab, if the On check box is selected, the Windows Firewall is enabled. If this option is not selected, then ignore the rest of the steps below.
Click the Exceptions tab.
Under Programs and Services, select MSN Messenger if it appears in the list, and then click Delete.
Click Add Program, click Browse, and then locate the C:\Program Files\MSN Messenger folder.
Double-click the Msnmsgr file. Note: The computer settings determine whether the file name is followed by the extension ".exe."
Make sure that the Msnmsgr file is added to the Programs and Services list and that MSN Messenger is selected
Click OK to save the changes