I know you've only just installed it, but i would recommend a clean install then check if it is still happening.
-Go to control panel, then add/remove programs, then go to MSN Messenger and click remove.
-Then reboot your computer
-Next, Remove the MSN Messenger folder in Program Files and in C:\Documents and Settings\<username>\Application Data\Microsoft\MSN Messenger. ( Note: this will remove all custom emoticons etc. To backup these files you can use url=http://www.sherv.net/article78.html]CE/DP Backup Wizard[/url]
Then download MSN from
http://messenger.msn.com and install it.
Then try installing the skin.