Any opening up of your PC to internet connectivity leaves it open to infection. This is not specific to IM apps in general or MSN in particular as far as I know. The usual precautions need to be taken (e.g. keep the PC/software updated/patched, use one or more regularly updated virus/parasite checkers, use a suitably configured and regularly updated firewall, stay abreast of the latest security alerts, try to learn about how your system works etc.).