Taken from http://www.msnbox.co.uk/links.cfm
Are you having problems downloading or installing the program?
If you chose “Save” instead of “Run this file from its current location”, you need to locate the file MsnMsgs.Msi on your computer.To do this:
1. Click the Start button and then click Search (or Find) and look under the files and folders category.
2. Type the filename MsnMsgs.Msi then click Search Now (or Find Now)
3. To install the program, double-click MsnMsgs.Msi and follow the instructions