had this problem with normal msn, not sure if the solution would stay the same but theres no harm in trying, hit the uninstall button in your msn live folder and go on repair (no idea if msn live has this function but normal msn does).
when my isp has had service trouble i often got this message with msn, has this only happened for a few hours of getting msn? Maybe your isp is having problems.
Sometimes i just waited for half a day or so and it ended up working. Lastly maybe your firewall is blocking the connection? Not sure how exactly this problem would be resolved.
Hope things get sorted soon :)