If you downloaded the source then you will just type:
tar xvzf amsn-0_93.tar.gz
in the same directory as you downloaded it to and it will make a directory called amsn or something similar (the folder will be the first word before the / in the ouput that just scrolled down your screen from the above command.
Enter that directory with the cd command (cd amsn-0_03, for example). Once inside, type the following:
./configure will check for the requirements on your computer, it will let you know if you don't have something it needs. make will compile the program, su will log you in as root (you will need the root password), and make install will put the binaries and such in the necessary places. It will place files in places that the normal user cannot write to, if you don't login as root, the install will fail, more than likely. Once you have done all that, run amsn from the command line and you are good to go.
Knoppix might have a package manager that will retrieve aMSN for you and install it. I don't use Knoppix, so I don't know. Another side note, aMSN has always been very buggy for me. If you experience slow connection times and crashing or high CPU usage, you may want to give gaim
As for the media player, xine, gmplayer, kaffeine, and plenty of others are out there to be tried. KDE comes with a bunch of media players, as does Gnome. You probably have more than just XMMS installed by default. Freshmeat.net
is an incredible resource for Linux users, as is SourceForge.net
. Try searching them and reading reviews, looking at screenshots, there are a bunch out there and it comes down to personal preference