This does not only work for MSN but for also any other messengers : Digsby/Google talk ect...
While several ways exist, i will focus on this one, which i think is the easiest and doesn't require any third party software/script.
What you will need: MSN messenger (of course) and a Command Prompt Window.
1# First close all internet applications like your browser or any other IM softwares you use. (To reduce the number of connections on your box)
2# Login into your Messenger.
3# Copy this line : netstat -n -o 3 >>c:\MSN-iplog.txt
4# Open a command prompt window
5# Get ready to initiate a file transfer to the friend.
(any file that will take atleast 30 seconds to transfer is fine)
6# Paste the line you copied in step 3 to the command prompt and press Enter.
(The window will be idle, thats normal becuase its writting to disk)
7# Initiate the file transfer to your friend
8# Once the file transfer is complete, wait for 10 seconds and type (control+c) in the command prompt window (that will stop the logging)
9# Now open the log file named MSN-IPlog created in c:\
10# Search for an IP that was not here at the beginning and at the end of the log but was constantly logged throughout the middle of the log.
Thats all for now, i may post other methods for finding ips when i have time :))