hmm seems werid that MSN would ask for your password.
Did you contact them through the msn.com domain (ie: through the contact form) or email them stright?
From
http://privacy.microsoft.com/en-us/fullnotice.aspx under " Security of Your Personal Information"
quote:
if a password is used to help protect your accounts and personal information, it is your responsibility to keep your password confidential. Do not share this information with anyone.