In the Windows 95 (pre-Internet) days, Microsoft wanted to set up something like AOL - an OSP as opposed to an ISP - that you could connect to the Internet through, but had enough content on it itself.
Needless to say they got it wrong, and MSN soon became an ISP, ditched pretences of offering dial in service outside of America, and moved to being a Yahoo-like online portal.
MSN is set to the home page for all new InternetExplorer installations, and thanks to a demonic deal New Zealand has XtraMSN. (Australia has NineMSN, and America actually has MSNBC!)
One of the things MSN provide is an InstantMessenger protocol and client. (ReneBartosh uses it.) When Windows XP came out, it segregated into two versions; the "Windows (.NET) Messenger" (the .NET has been dropped) and MSN Messenger, for previous versions of Windows.