From MozillaZine Knowledge Base

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.

• Messenger Plus! is an extension for MSN Messenger, which introduces many new features and enhancements, and has been developed and promoted over several years. It is without a doubt the most popular Messenger add-on or extension. Messenger Plus! contains optional sponsorware. If you do not wish to install this sponsorware, make sure you do not tick the box during installation!
• StuffPlug NG (which requires Messenger Plus!) can be used to force MSN Messenger to use the default browser every time.

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:

• Miranda Instant Messenger
• Gaim
• Trillian

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.