There is many ways to do that. I will explain two different ways I use regularly.
1. First option: just running Windows into a virtual machine and then installing MSN Live Mesenger.
You may be saying by now that is a quite stupid option but actually it is a real good one. For example, using Parallels Desktop 5 for Mac and installing a real light version of Windows XP may provide you a great experience running native Windows applications. If you use the Coherence Mode you can just click on your preferred Windows applications [like MSN Live Messenger] and it will run like a charm. Furthermore, you can get a folder in your dock called “Windows applications” or even the conventional Windows Start Menu.
2. Second option: moving to open source always can make you smile.
There is a great program I used in Linux called aMSN. The first thing you will notice is that, besides working exactly as MSN Live, having perfect support for webcams and even an improved interface [you won’t have that annoying ads used by Microsoft in the bottom of MSN Live Messenger], the appearance of the program is not so nice. To solve that, I strongly recommend installing the MSN Live skin and then you will get the same icons, sounds, emoticons and appearance than MSN Live. In addition, a great new is that you have the aMSN Plus! plugin, so you won’t miss that quite popular additions many Windows users have [MSN Plus!].