MSN Messenger 3.5 runs as a disk image thingy. Near as I can tell it isn't 'installed' anywhere. I downloaded a .dmg titled macmsgs.dmg. Clicking on that mounts an image titled MSN Messenger 3.5 (The version I've downloaded). Clicking on the MSN Messenger icon in there starts the application. I don't use MSN Messenger much anymore, so I might be wrong.
You can put a link in your dock so you never have to mess with this again. The easiest way IMHO is with the application running, right click (ctrl-click if you've only got one mouse button) on the program's icon in your dock and from the context menu that pops up, say Keep in dock. Now, the icon for MSN Messenger, or whatever application you do this for, will be in the dock forever... until you trash the icon in the dock, which removes it from the doc (but doesn't delete the program).
-dcoke2