I already did, but I try to open it twice it open just the first one.Why not just try it? Instead of asking? It's not like anything bad is going to happen if you do try.
Report back to us, as I would like to know if it works or not.
What you need to do is download MSN Messenger, then extract the .app to different locations, for example, one in Applications, and one in Applications/MSN.
Since it's technically two different "installs," it should let you run multiple instances.
Otherwise, Adium supports multiple accounts under the same client. I believe aMSN and Mercury Messenger do this as well.