There is nothing wrong with your MSN Messenger or your DSL connection, the problem is that you're probably either behind a router or using some kind of internet connection sharing that uses NAT technology to share one single internet IP address between more than one computer.
This is a very common issue and is related to NAT (network address translation). When you're behind the router, your computer doesnt have a WAN IP address, the router is the only externally recognized device in your network, each of your computers only have a LAN IP and the router makes the address translation to each of the internal IPs. This means that you can't do anything that would require your computer to act as any kind of server on the internet, because that would require it to have an external IP address. Things such as sending files, making netmeeting calls, hosting game servers, just for some examples, wont be possible.
Some modern routers feature DMZ hosting, which is an option to get around this limitation. This basically opens up one of the computers on your network (only one computer can be on the DMZ at the same time) to the outside, however this also means that the computer wont be protected by the firewall features of the router. The computer on the DMZ will be exposed on the internet as if you didnt have a router at all and just connected the DSL modem directly to the computer. So if your router has a DMZ feature and you choose to enable it on one of your computers, you should make sure you have a software firewall installed on that computer.
Hope this helped.