If you're having trouble connecting with Windows Live Messenger (WLM, or formerly called MSN Messenger), it could be a firewall or proxy has not been configured to let it through. Refer to this MS article for the ports and URLS used by WLM:
Network ports and URLs that are used by Windows Live Messenger
The list cuts both ways, of course. Syadmins can also use the info to block WLM, or block certain WLM features such as File Transfers.
Direct link to Windows Live Messenger
Block Ads in Windows Live Messenger