Here's some of the MSN help instructions as well...
Chat Software Installation:
For MSN Explorer or Microsoft Internet Explorer 4.0 or later
When entering a group chat room for the first time, you are prompted to download and install the MSN Chat software. If changes to the MSN Chat software have been made since you last chatted, you are prompted to download it again.
Click Yes in the Security Warning dialog box to begin the download. (If you click No, the software does not install and you will be unable to chat.) As the software is downloaded and installed, the Welcome to MSN Chat page appears. When the Chat software has finished downloading and installing, a smiley face appears in the lower right.
When you see the smiley face, click I See the Smiley Face to enter the chat room.
When entering a group chat room for the first time, you are prompted to download and install the MSN Chat software. If changes to the MSN Chat software have been made since you last chatted, you are prompted to download it again.
Follow the procedure on the Setup Instructions page for manually downloading and installing the Chat software.
Once the installation is complete, your browser restarts and you can then enter the group chat room.
For Netscape Navigator 4.0 or later
When entering a group chat room for the first time, you are prompted to download and install the MSN Chat software. If changes to the MSN Chat software have been made since you last chatted, you are prompted to download it again.
Follow the procedure on the Setup Instructions page for manually downloading and installing the Chat software.
Once the installation is complete, your browser restarts and you can then enter the group chat room.
Login Problems
MSN Chat uses special software that works with your Internet browser to create the chat environment. If you are having trouble downloading or installing this software, ask yourself the following questions:
Did you click Yes in the Security Warning dialog box that appeared during the download?
Try downloading again, and make sure you click Yes.
Are you running Windows 2000 or Windows XP Professional?
If so, do you have Adminstrator privileges? You cannot download the Chat software if you are not an Administrator or if you do not have Administrator privileges on these operating systems.
If you are the owner of this computer, you likely automatically have such privileges.
But if you are using a work computer in a corporate environment, or a shared public computer, you may not. Check with your system administrator to be sure.
Did you change your browser's security settings to High?
This prevents the necessary ActiveX controls from running. To modify your browser's security or cookie settings, see the appropriate help topic in Related Topics below.
Security Settings
On MSN Explorer or Internet Explorer:
On the Tools menu, click Internet Options.
On the Security tab, select the Internet icon.
Click Custom Level.
In the Reset to drop-down list, select Medium or lower.
On the Security tab, select the Trusted sites icon.
Adjust the Security level for this zone to Medium or lower.
Click Sites and type http://groups.msn.com/.
Clear the Require server verification (https:) for all sites in this zone check box.
Click OK, and then click OK again.
On non-Microsoft browsers:
Click Help at the top of your browser.
On the menu that opens, click Contents.
Select Index, and type security and/or privacy in the box.
Click the topic about security settings and follow the instructions
And if that doesn't work delete the MSN Chat Control and reinstall it...
Click My Computer
Click Control Panel
Click Internet Options
Click the Settings button
Click View Objects
Right click on the MSN Chat Control icon and choose delete.
Reboot your computer
Return to chat and the new control will download.
NOTE: Its very important to reboot your computer after deleting the chat control. These steps may not work if you don't reboot.
