What happens is, only selected people are able to speak in the conversation. The rest have to remain silent.
This means that if people are doing an online reality game over msn with an audience or a press release for a website or something, they could do it without the people interupting.
However, the messages are only ignored locally. Other contacts will still see them. It can not ignore/blank out messages sent to a mass convo for all users.
There is no way you can moderate a mass convo like you can on IRC. The MSN Messenger protocol simply doesn't support something like that.