Hello,
The Mozilla FireFox guys have made it very easy.
Just download, run, click Next until installed. It will ask you whether you want to import your IE bookmarks. Doing this will not affect your IE installation.
Do not set FireFox as your default browser (it will ask you) until you have verified that the MSN messenger functionality you want to test works.
If it does, set FireFox to be the default. Do not try to uninstall IE, as you will need it for Windows Updates (which use ActiveX) and other sites that use non-standards compliant IE features.
If MSN does not work, then just uninstall FireFox, or tell it to stop asking you whether to be the default browser.
Let me know how it goes..