It *might* depend on whether your modem is directly connected to your computer, or whether you have a router that your computer connects to. Either way, it is best to check your computer first.
First, you may need to provide more detail. Are you using WIndows 2000, Windows XP, Windows Vista? Each of these has an inbuilt firewall, which you can disable in your network settings. However if your modem is connected to your computer directly it is best not to disable your firewall permanently, as it is keeping crackers out of your system.
You may have a third-party firewall loaded onto your system, such as ZoneAlarm. You might discover this by hovering your mouse over the icons in your taskbar (usually next to your clock on the bottom right hand side). Anti-virus products these days sometimes have a security product built in (such as Norton). One of these may be selectively blocking MSN, in which case you can often enable the necessary channels ("ports") using the control panel supplied with the firewall you have.
Avoid having more than firewall active on your computer if you can - they can interact in awkward ways if you don't know what you're doing.
Has MSN ever worked on your computer? If so, can you remember what you did before it stopped working? Did you install a new software product, for example?
Jon, October 2007