MSN Messenger is one of those programs that when it screws up, it screws up (and may take a few casualties with it). Usualy a troubleshooting step one goes through would be (finish one step, then try loging in again etc):
1. MSN Connection Troubleshooter
2. download any WinUpdates etc.. and scan for any nasties (virii, warez)
2b. reboot the pc, reboot the network/internet connection
3. Poking around in MSN's settings.. including proxy, firewalls, ports etc..
4. Likewise as above, poking through Internet Explorer's settings, and hence, also the rest of window's network/internet settings
5. Network ok?
6. Check through see if your other internet games/instant messneger/email clients/browsers etc does work..
7. close down every other programs that may/may not use the connection to the internet and see if that works.. or boot in safe mode if its easyer
...
8. registry (backup first), task manager, and poke around em for a bit..
9. reinstall msn..
10. give up hope, and just use web messenger or a client msn messenger
..... (sorry, couldnt help myself)
one note is that a full wipe and reload of windows "magicaly" fixes all problems.. as well as throwing that pc out the window...
If MSN Messenger doesnt want to connect, and some of your other programs wont connect as well, then there is something blocking the connection or ISP problem or actual server problem (some cases) etc.., you may have to open a port or some fixit to make it work...