Right-Click on the Tray Icon, and Exit.
Restart.
et voila
It isn't hard, all of the MSN Messengers do it cause they use Network States to lock a connection for stability. Although it doesn't really work out that way if a connection is ever lost due to any reason. If it still doesn't work, then something is knocking out your proxy ability which generally means that ALL programs that require such connections are knocked out and rebooting the computer *should* resolve the issue.
Hardly rocket science, or hard to find this info in the MSN Troubleshoot help itself.