http://code.google.com/p/msn-pecan/

http://www.cypherpunks.ca/otr/ - Off-the-Record (OTR) Messaging allows you to have private conversations over instant messaging


It seems like problem with retrieving the certificate at first time. Try switching to Http-method from MSN account options and log on once.. This worked for me, and as certificate is once received you should be able to switch back to normal mode.