http://www.whatismyip.com/
Go there with your VPN
not connected and make a note of your IP address. Connect your VPN and go there again.
If the IP address you see is different the second time, that means your Internet access -- including web surfing, Messenger connection etc. -- is being routed through your work/school (or whatever the VPN is for) when the VPN is active. This is common.
If that is the case, I'd suspect the administrators of the network you are connecting to have blocked use of MSN Messenger, and since the VPN redirects all traffic throgh their network, the block also affects you at home. You can talk to them about changing that.
