Well , For one you can press "Ctrl + alt + delete" and end the task "msnmsgr.exe" then re-run MSN Messenger and it wont be locked anymore. Becareful when you set your password
I dont know if it is enabled by default also but their is a key combination set default (maybe not enabled) to get out of those special modes. The combination is "Alt + Delete" , Not Backspace but the num delete.