Have you downloaded the msn client?
get.live.com/messenger/overview
Download and install Windows Live Messenger from above, once it has installed open up the client and click "Contacts" then "Add a contact" - you then type in the name of the other persons email address and it should add them. If they accept you, their name will show up with a little icon beside it on your Windows Live client, you then double click their name and a new window should show up where you should be able to type to them.
Good luck!