Make sure you set it first:
1. Click this first, it will direct you to a page to set your info etc.
2. After you've done step 1 enable this box (it aint checked and greyed out on mine as you can't enable it till step 1 is completed).
Edit:
PM from kenney:
I set up a mobile account and that option under phone to allow others....... is not even there
Answer: In that case you might have to reinstall MSN Messenger. Wich MSNM version are you using (my screenshot is from MSNM 7.5)? Please reply inhere not in pm, thank you.