C:\Documents and Settings\USERPROFILE\Application Data\Microsoft\MSN Messenger
u'll see folder(s) with random numbers, i assume those are stored account settings for people that have logged on msn using your computer - one folder per e-mail address. makes sense.
tricky part is figuring out which one is yours and what is what... take it from there.
gonna go out on a limb here and assume you're gonna do a fresh install and don't want to lose emoticons+display pics - if thats the case, your best bet would be to just back up that whole directory and hope for the best