It was weird how mine worked out…but I had the same problem a little while ago. I went into Control Panel -> Add/Remove Programs and scrolled down to MSN Messenger. I then clicked ‘Change’ and it brought up a screen of choices that I think were Repair, Uninstall, or Install..I can’t quite remember. Anyway, I tried clicking repair and it said it needed that damn .msi file. I downlaoded the SAME version of MSN that I was having problems with, opened it and it brought me to the selection screen again. I clicked Repair and it did what it was supposed to do. It then let me cleanly uninstall it and reinstall it and MSN worked fine again.
Sorry for such a lengthy response…but I hope it helps. If it doesn’t go to the repair screen the first time repeat the steps it might work.