I had problems connecting with MSN 7 using ZoneAlarm Security Suite, and it seems alot of other people are too (just check the ZoneLabs forums). Unfortunately, shutting down/disabling ZASS is not enough, it still enforces all its rules, so you should uninstall ZASS, and see if MSN Messenger works. If it does, then ZASS is your problem. Oddly though, after re-installing ZASS, MSN worked pretty much OK for me.
But, I would reccommend first to make sure MSN Messenger has the correct internet access rights, also allow it server rights. (Do this before, and after the re-install) Also, make sure that the AlertAdvisor (program control tab) is set to
automatic.
This explains it a little bit more, relating to ports etc.
http://www.geocities.com/zonealarmprov4/prexamp.htm#msn
(scroll down to MSN)
Make sure you right-click
MSN Messenger in the program list (
program control on the side panel, then the
programs tab), and select the two options in the
advanced program control section.
If all else fails, use MSN Messenger 6.2, as that works perfectly with ZASS.