MSN Messenger only works on OS 9.2 and newer. You'll need to find Messenger v2.1 if you wish to use it on OS 9.1, however it's not recommended.
Edit: Apparently version 2.1 no longer connects to the servers, and is therefore unusable. However I located this snippet of info which should help:
Right now though I'm running MSN Messenger 2.5 on Mac OS 9.1, thanks to GestLab, a program that lets you change Gestalt information about your computer (such as which version of Mac OS you're running). The developer's website can be found at http://gestlab.free.fr/gestlab/glab_us.html. Once GestLab is downloaded, you just need to change the "sysv" selector to "00000922" Then, you can install and run MSN Messenger 2.5 on Mac OS 9.1!