First you need the software (which I found it first before I know how to make it works).
This is the good link for some of the software, not only MSN but also Yahoo, ICQ etc: (you need to register first and FREE!)
I tried 3 different softwares and I got it all works: eMSN IM, MiM Lite and IM+ (http://www.shapeservices.com/en/products/details.php?product=im)
IM+ looks better but unfortunately not free compare the other 2.
To set on your BBerry, go to options - advance options - tcp and type for APN: www.vodafone.net.nz and leave username and password .
And suppose if you don't know that there is Blackberry Messenger which you can chat between Blackberry devices using PIN stack.
And it's free. It's from RIM website.
And Good luck!