MSN Censors Your IM
Jamie ran across a story about censorship on MSN. Essentially, a number of suspicious strings result in silent failure of delivery. The strings are unsurprisingly things like .scr and .info. They've started maintaining a list if you're interested. Personally, I'd rather they fix the vulnerabilities that make those strings dangerous in the first place: it's not like IM is the only place a URL can get on your machine.
why use MSN at all?
Pidgin
http://sourceforge.net/projects/pidgin/
(formerly Gaim), see also
http://en.wikipedia.org/wiki/Pidgin_(software)
works fine with MSN.
Only issues are security, (passwords stoed in plaintext - as with most other IM apps) and peer to peer file not working yet via MSN, (goes via servers so is slower). Neither are major hinderances.