Is it possible that you are launching MSN by double clicking a .dmg file and then double clicking MSN from within there? If this is the case, next time drag and drop the .app file to your Applications folder and then Eject the disk icon on your desktop. From now on, start MSN from within your Applications folder.
Unfortunately I am out of town on a business trip and can't check to be sure that MSN is distributed this way. So this is offered as a "just in case" sort of tip. Most Mac apps are this way, but MSN *is* a Microsoft app, so you never know!