Okay so you have done ./configure and then a make, you are almost there, as long as there were no errors when you did the make.
Now open up amsn, on the first screen that comes up you will click on :
Tools --> Docking --> FreeDesktop
this will put the tray icon in place.
Now you will do the following:
Tools --> Close Button Minimizes
Now when you click on the x in the corner it won't shutdown, but it will take amsn out of the taskbar but leave the icon in the system tray.