There are several possibilities.
The easiest is, as tech says, to use a firewall to block it. Mind you, you should use a password-protected firewall like Sygate or Kerio since it is easy to bypass the settings in most firewalls.
Another option is to use a program to safeguard chat-communications like Naomi (see below in my signature). This way MSN is possible, but in a relatively harmless way.
If you know a bit more of how a firewall works,you could choose to let MSN-Messenger work only on port 80 (like a browser) and this way block file-transfers on the ports 6891 / 6901.
Usually this is no fun for the real MSN-freaks, but at least IM-communication is possible.
Fast