You could make two separate copies of the app you want to run. Kind of silly in a way, but it works. That doesn't let you have two different sets of preferences though - both copies will grab the same prefs file.
In the case of MSN messenger, the two copies probably would sign in with the same account, and they'd probably just kick each other out all the time...
If you want to be signed on to two MSN accounts at once, perhaps you should look into a different msn client than microsoft's. Fire.app is a pretty good one, lets you have multiple accounts connected at once and such.