It could be many reasons why this happens...
The messaging servers could be temporarily down for maintenance or may have reached capacity due to heavy Internet traffic (during peak usage hours). Wait a short while, and then try again. You can check our server status page for the latest information on the service.
Disable your 'auto-detect' settings on your browser. For Internet Explorer users, click the IE Tools menu, click Internet Options, click the Connections tab, click the LAN Settings button, and then clear the 'Automatically Detect Settings' box.
Check for a false proxy setting. On the MSN Messenger Tools menu, click Options. On the Connection tab, be sure the 'I use a proxy server' check box is clear. This option should only be selected if your network administrator tells you to do so.
If you are using ICS or Router for Home LAN, you may need to adjust some of your settings or update hardware/firmware drivers. For more information on this, search on LAN or Network in the MSN Messenger Help Topics from the MSN Messenger client.
Firewalls and third-party applications may also affect your ability to connect to MSN Messenger. To see if any of these applications are affecting your connectivity, you can disable the application(s) and then try to connect to the .Net Messenger service.