first of all, you did not need to uninstall zonealarm
you can re-intall zonealarm firewall. they only thingyou would need to to do is ENABLE internet access to msn messenger through your firewall.
To do this open Zonealarm and go to the 'program control' panel, then click the 'programs' tab. Scroll down the list of programs until you find MSN. Left click on the question mark in the 'server/internet' section of your application's row. Change the setting to 'allow.'
this should fix your problem.
RIGHT NOW, the problem may be with the XP firewall (unless you did not restart your computer after the uninstalling of zolealarm).