|Ensure that MSN is running then:|
Left click on the speaker icon on the taskbar (near the clock) then
select 'mixer' and
look to the left side of the window where it lists application sound settings, and see if the volume bar is alone the same line as everything else.
It might help to have some other applications open such as youtube playing something and winamp.
it might just be that its volume bar setting is lower than everything else and thus turning up your speakers / normal volume has no effect.