MSN Messenger opens Internet Explorer
From MozillaZine Knowledge Base
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MSN Messenger opens "New e-mail message" links with Internet Explorer, even when IE is not the default browser. Unfortunately, every currently known workaround involves downloading and installing additional software.
Another option is to use alternative Instant Messaging applications that provide support for the MSN Messenger network. This is not an extensive list, but your options include:
You should try several alternative clients to see if any of them suit your needs, since support for video messaging and other features may not be offered in alternative clients.