thats not possible, because when you chat with people on MSN you are not chatting with them directly they (and you) are being routed through a random microsoft server. the only way to get someones IP via MSN would be to send them a file (which opens a connection directly to them). dunno if they have to accept it or not. then you can use something like ethereal or wireshark to sniff through the outgoing/incoming packets for their IP. netstat works to, i think.
anyways there are tons of other programs for things like this, such as netstatx (my recommendation)