How about a mute button? One to just mute individual conversations and one to mute all messenger sounds. Just temporeraly like when you've had to turn the speakers way up to watch an especialy quiet DVD and you don't want to be deafened by people beeping at you.
another suggestion--
How about tabbed messaging? Kinda like firefox has tabbed browsing.
That way you have 1 MSN window, and all your chats are encompassed within.