Make sure Windows firewall is disabled.(its not that good anyway) Control panel>firewall and disable. Goto Zone Alarm security settings and look for IM security down on the left side, click setings tab up on right side of screen and left click on each box for msn, leave spamblocker and encrypted alone.
The above works for Zone Alarm Security suite.
If you have Zone Alarm firewall you need to access the programs menu and allow the program messenger or msnmsger.exe to connect to the internet.
I'm using v8.0 of messenger, Zone Alarm Security Suite