There's several possibilities to do that. Either with a patch, plugin or a loader. The feature/option is called polygamy.
Possibilities:
Stuffplug NG -
http://www.stuffplug.com (plugin - requires msg plus)
A-patch -
http://apatch.tk/ (patch)
Mess Patch -
http://www.mess.be (patch)
Universal Jnrzloader -
http://sunshine.likethat.org.uk/pafiledb/pafiledb.php?action=file&id=8 (loader, load up MSN with this instead of regular MSN icon)
Edit: with patches it is very important to use the correct version for your MSN version (help > about). The universal jnrzloader can be used with all versions, even the newest WLM.
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