have you looked at
http://appdb.winehq.org/appview.php?versionId=3179
what version of MSN are you trying/wanting to use ?
Looks like 7.5 does not work yet but the link I provided is to v7 that seems some people have had some success with.
with wine you need to do a bit of reading and a lot of patience.
anything you want to run you need to prefix with wine space and path and filename to run
and
as on a win sustem you need to install it first so you will have to do something like
wine /home/anybody/setup.exe
if you have only just installed wine and done nothing else you may need to tweak the settings.
With your version you may need to modify a file but on newer versions you need to run winecfg (from a console) just after installing.
if you want to try a newer version of wine you need to uninstall your current version first
to get a lot of things to work (or get close to working) there are a lot of scripts and tweaking you need to do using winetools, or sidenet, or ies4linux, etc. Which takes a lot of googling and trial and error.
Also a lot of the apps reported as working on wine only do so for sometimes one drop, some of which are quite old and nothing like current incarnation.
good luck.