In other words:
spideygirl, the option what you talk about is something added by an extra addon for MSN Messenger, called Messenger Plus!*. It isn't a basic standard option of MSN Messenger itself.
Messenger Plus! allows conversations to be grouped together.
So, first you need to
download and install Messenger Plus! and then activate the "Tabbed Chats" option in Messenger Plus! (see posts above).
* There are also other addons for MSN Messenger which have the option to group conversations. They work in a different way and show the grouped conversations in a different way than Messenger Plus! does. But most are either out-of-date, still in beta, or don't work properly at all. For a list of those see: "CookieRevised's reply to A window for all plugin?".
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